Check to see if the account you are logged into on the remote machine has the required permissions to access the server in question. I’ve had cases where the user account for the Application had the needed permission, but that was trumpted by the access level allowed by the OS login account. The application said “yes” but the OS said “no”…the OS wins.
By granting access to the NT AUTHORITY account into your analysis server you can effectively granted everyone access to the SSAS database. This includes anyone who breaks into your network any tries to access the SSAS database.
The problem you are having is the NTLM double hop issue. If you can setup SSAS with a SQL Login instead of a Windows login (it’s been a while since I’ve worked with SSAS security) then you can setup the SSRS report to log into the SSAS server using that login instead to get around the issue. I would definitely recommend removing the NT AUTHORITY login from the SSAS server ASAP.