Interesting, this must be a shortcoming of OpenFire then. With OpenFire I haven't found a way around having the MUC and extension subdomains accessible via DNS, regardless of whether or not requests are coming from the same domain or not. Is this not necessary with other XMPP servers? Which ones are you using, if I may ask?
It is indeed a shortcoming of OpenFire; one that won't be fixed [1].
As far as the XMPP protocol is concerned, the concept of sub-domains doesn't matter. It's useful for human users when configuring servers though.
Prosody for example allows running a multi-user chat service on example.com. And there's an undocumented feature which let's you have user@example.com be a user, and room@example.com be a chatroom.
