in our case the linked server still uses a domain account for dealing with the MSOLAP driver

so in the TSQL query i could

1. Run the tsql query with a sql user account

2. This would then tell the linked server (via the domain service account) it needed to query the OLAP cube

3. Analysis Services (also running under another domain account) would respond

So in the case of the 1 step here, i was running it with a domain account intially, which wasnt working (and it is a sysadmin)

So i switched to using a sql user account, which did work

And i think its because there was some form of kerberos delegation trying to happen on my domain account i was using in step 1