I think I have solved my problem, or a work around at least.
It would appear that when running an SQL request and sending the output to a browser as a ‘preview’, the process errors with an authorisation issue.
However, if I change the type to browser and ‘HTML’ output, the process runs successfully.
But even HTML output still has its problems. Setting the HTML as the default without any lines per page produces an output. Setting HTML with any number of lines per page, gives the error message about authorisation.
I think there is a bug with iSeries Access for Web at V5R4M0.