I've made no changes in the Permalink options or the .htaccess file. After experimenting, I see that if I put the url of my main site with WP's subdirectory in the Options' "WordPress Address" field -- i.e. the real address -- and put the masked address in the "Blog Address" field, then I encounter the problem with categories and archives. If both are the same, no problems.
However, when I do that, the outcome of ALL links, even those for external sites, is my (masked) address in the browser address field, seemingly forever, until the window is closed. Probably this is not a WP issue, but I wonder if there's a way to prevent that.