I tracked down why auth dialogs do not work in the file chooser for 
ssh bookmarks.

What is happening is that the filechooser calls get_file_info() for the
ssh uri, which causes the ssh backend to lock the connection table and
go into sftp_connect(), while keeping the table locked. It spawns a first
ssh to determine details about the ssh server. Meanwhile, the thread running
the file chooser code has proceeded, and decided to reload the bookmarks
for some reason, which causes all outstanding file system operations to be
canceled and restarted. The sftp_connect code goes on to determine that it
needs auth, so it async auth callbacks (in invoke_fill_auth).
This calls gnome_vfs_module_callback_invoke and eventually
async_callback_invoke, which dispatches the module callback with
_gnome_vfs_dispatch_module_callback and waits for the callback to be
done. However, since this thread's job is already cancelled (see above),
the callback is never called, and the thread never wakes up, keeping
the sftp connection table locked.