Hi Armando,
As far as I understand the situation, SSO should work when any Windows user is logged in to any Named Device. The user still needs to be created in the Admin Console as a Directory Named User (ie, Windows Account or LDAP Account). Assuming the user is setup this way but is not named, they would only be able to log into devices assigned a Named Device license, but otherwise their LF user experience should be the same as for a Named User and they should be able to use SSO when logged in to Named Devices.
Unfortunately I do not have Rio setup on my VM so I can't test this out myself.
~Rob