For those who encounter this in the future, a hotfix is available from Microsoft which addresses the connectivity issue. I have tested it and it works.

See FIX article http://support.microsoft.com/default.aspx?scid=kb;en-us;2717598. While the symptom described doesn't mention the error message I encountered, the root cause is the same.

NOTE that you don't need to be running Host Integration Services; the hotfix applies to both Microsoft Host Integration Server 2010 and Microsoft OLE DB Provider for DB2 4.0 (expand Applies To section).