Matteo, yes, you can use siteminder users on the authorization tab, you'd probably need to write it as CUSTOM\USER, depending on what you have configured in the webserver.
If you can't figure it out just set a document to allow all authenticated users and then look at the licenses assignment for the correct syntax on usernames.
Populating the users through ODBC will help you search and add those users without needing to type it, but it will still work if you do just type the names.
The result is the same when you set authorization via Publisher (source document) or on Server (user document).
However the username is being passed through the header is how it should appear in the authorization list. For example, we set up SSO for Salesforce.com, and the users were being passed in email address format, so email@example.com would appear in the DMS authorization list. Same is true for section access entries.
If you don't want to manually configure every user's authorization, you can set authorization to "All Authenticated Users" and let your SSO process handle the authentication and the authorization.