This is normal. This is caused by what is called the NTLM double hop issue. Basically a computer can not forward an NTLM authenticaion token to another computer and have it be accepted if it has not created the token.
In your case your workstation is Computer1, the monitoring server is Computer2 and the remove SQL Server is Computer3.
(This is the way simplified version)
Computer 1 generates an NTLM token when you log in.
You connect to the SQL Instance on Computer 2 using your Windows Auth. Computer 1 passes the token to Computer 2. Computer 2 accepts the token because Computer 1 created it.
Computer 2 then attempts to connect to Computer 3 via the linked server passing Computer 3 your NTLM token.
Computer 3 rejects this token because it was created by Computer 1 not Computer 2 and Computer 1 did not request the acces.
There are two workarounds.
1. Setup Kerberos on the domain and use that instead of NTLM. This will require the domain admins making several fchanges to the domain and possible breaking software which requires NTLM and doesn’t support Kerberos.
2. Use SQL Authentication to access the remote SQL Servers. Preferably an account other than SA.