I tested this here since I can see my servers DHCP logs to find out what it is doing.

1. Rebooted with network location set to Automatic, and System Preferences - Network - Airport set to "By default, join Automatic". DHCP assigned IP address around the time the login window was loading, SSH was enabled before any local user could log in.

2. Rebooted with location Automatic again, but "By default, join preferred networks" set. My wireless network was the only one in the list. DHCP assigned IP once again right when the login window appeared.

3. Restarted with a location I use for work with the proxies, again with "By default, join Automatic". IP was recieved at the same time, before a user logged in.

So I'm not sure exactly what might be causing your problem, unless somehow "Disconnect from wireless networks when I log out" is checked under System Preferences - Network - Airport - Options. Beyond that, my only suspicion would be something keychain related if it can't access the network password.