Note: Functionality described is available since PBA 5.5 Update 3.
Link "To Control Panel (language)" on Account/User view screen does not login to customer's CP using current language, but logins using default language.
Problem appears because locale names in POA and PBA are different. For example, if affected locale is French, it might exist in POA as 'fr_FR' and in PBA as 'fr' (or otherwise).
This issue has internal ID PBA-56293 and is fixed in PBA 5.5 update 6 and higher.
As a w/a until then, you need to unify locale names between POA and PBA, by renaming them to long format 'fr_FR', so that locale names in POA match exactly locale names in PBA. Refer to POA localization guide and PBA localization guide for more details.