1) Connect to an SFTP server using GSSAPI authentication (it should not ask for your password).
2) Open a new session to the same server (ensure GSSAPI authentication is enabled). It will ask you for your password.
With "debug 2" logging enabled the (relevant) error in the second session is thus:
. 2014-04-08 10:06:19.626 GSSAPI authentication initialisation failed . 2014-04-08 10:06:19.626 Unspecified GSS failure. Minor code may provide more information Matching credential not found
Note that absolutely nothing was changed in the session settings between opening the first and second session. The entire (sanitized) log is attached