I have recently set up WPMU on my host using a subdomain install, and I have the following setup:
I am using version 0.5.4.2 of the WordPress MU Domain Mapping plugin to map the domains to their respective sites.
All of the following load correctly and as expected.
However, the actual site at "blog.athirdsite.com" redirects to "athirdsite.primarysite.com". I have checked the database settings (every setting I can find references "blog.athirdsite.com") as well as all the Domain Mapping settings. I can't seem to find what would be causing this. I suspect it has to do with the fact that the third site is using a subdomain.
My DNS settings for all of the above point to the same IP address.