I too have wondered why when you schedule a batch job in SAS Management Console that you have to enter your username/password again (both SAS 9.3 and 9.4). Your explanation makes perfect sense.
Our environment is Windows and our SMC connection uses IWA. It would be much better if batch scheduling could use those delegated credentials.
However the annoyances go further. If you change your password then you have to go and reschedule all of your batch jobs otherwise they wont run (we use LSF as our batch scheduler). Fortunately we only have a few batch jobs so it is not too big a deal. If you have a lot them though I imagine it would be a major inconvenience.