ClaimsAuthenticationManager is not invoked
In the system.webserver part of your web.config do you have the ClaimsAuthorizationModule set,
eg
<add name="ClaimsAuthorizationModule" type="Microsoft.IdentityModel.Web.ClaimsAuthorizationModule, Microsoft.IdentityModel, Version=3.5.0.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35" />
For .NET 4.5 you have to add this:
<add name="ClaimsAuthorizationModule" type="System.IdentityModel.Services.ClaimsAuthorizationModule, System.IdentityModel.Services, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089" preCondition="managedHandler" />
ClaimsAuthenticationManager is not invoked automatically. One needs a plumbing code for that unless they are using WS-Federation.
You can do it in an PostAuthenticateRequest event handler for the HttpApplication.
A good example is located in the http://github.com/thinktecture/Thinktecture.IdentityModel.45 project. Search for ClaimsAuthenticationHttpModule.cs which invokes it.