Use ASP.NET Membership store for user settings with Windwos Authentication

I am evaluating ASP.NET Membership for an intranet Silverlight app.
I want users to be automatically authenticated for my application with their windows logon.
Thus I configured Windows Authentication.
I would like to store user settings like email-address in using the SqlMembershipProvider and not AD.
It seems that storing user settings using the SqlMembershipProvider is not supported with Windows Authentication.

Is this really so (using .NET 4)?
If so:
What is the rationale behind this?
IMHO authentication, user settings and authorization are distinct aspects.
User settings could easily be stored (identified by user name) using the SqlMembershipProvider with authentication and password management being supplied by Windows. What is the recommended solution for my scenario? ...