> I tried both "stay on same address" and "stay on same 
> domain"

Use of filters is much better - the use of the expert 
options "stay on.." is now deprecated.

> The only way I have been able to get around this is to 
add 
> +*domain* to the scan rules.  Is there any other way 

No - scan rules are now the preffered way ; such as in:
-* +www.example.com/* +www.whatever.com/*
(..)