The reason for this is that clidfs.c opens a new connection after receiving a STATUS_PATH_NOT_COVERED error.  This new connection is opened through the do_connect function.  However the do_connect function uses credentials stored in global/static variables, not the ones of the prior connection.  So the username, workgroup end up being anonymous, and you are prompted for a password.  Being prompted for a password is not ideal if you are calling the lib programatically and not through an interactive client.  To set these global/static credential variables you have to call the functions cli_cm_set_credentials and set_global_myworkgroup.  Notice that smbclient does this (client/smbctool.c) in  in its get_auth_data_fn callback.  However if you use the libsmbclient library there is no way to access these functions (cli_cm_set_credentials and set_global_myworkgroup).

To fix this, a new function like smbc_set_credentials should be added to libsmbclient.  Then the user of the library could include the function call in the get_auth_data_fn callback.  

The function would look similar to what is in smbclient like this:

/* Set the credentials so DFS will work when following referrals.*/
void
smbc_set_credentials(char *workgroup, char *user, char *password)
{
        struct user_auth_info auth_info;

        pstrcpy(auth_info.username, user);
        pstrcpy(auth_info.password, password);
        auth_info.got_pass = True;
        cli_cm_set_credentials(&auth_info);

        set_global_myworkgroup(workgroup);
}