I'm having a problem like this, too. Should this be working at this point?
I'm trying to redirect from https://foo1.example.com/bar1 to https://foo2.example.com/bar2. They're both on the same SSL certificate, if that makes a difference, and the certificate is for *.example.com.
It's doing some weird things, though. When I use HTTP, it works like I would expect it to. Even when it's from HTTP to HTTPS. As long as I start with HTTP, I get to my end URL, no problem.
When I use HTTPS, it takes me to https://foo1.example.com/bar2. It takes the directory from the target URL and tries to open it on the domain from the original.
I'm currently using the Redirection plugin to do this, (http://wordpress.org/extend/plugins/redirection/) but the same behavior happens when I hard-code the redirect into my functions file, so I'm pretty sure it isn't an issue with that plugin.