I have a video player in Silverlight (.xap file) that is sitting on a particular sub-domain (i.e. cdn.scottrozman.net) that I wanted to be able to use from another sub-domain (i.e. www.scottrozman.net).
It seems to work fine... and I assume it is the case because sub-domains must be trusted, however there if I request the .xap using https instead of http (and my page is requested via http), the player does not show up.
Here are a couple of resources I found while researching this issue: