Thanks Steve.
The SQL agent is running with a service account in the administrators group so its not a permission thing, but that got me thinking.
I tried running the package as the service account with DTExec.exe (32 and 64 bit) and received the same error with both, so its not related to SQL agent.

I fired up Process Monitor and discovered it was looking for Microsoft.AnalysisServices.AdomdClientUI.dll in a directory where it didn't exist. I found this DLL, copied to where it wanted it and it works now. It was looking for it in several places, I copied the file from D:\Program Files (x86)\Microsoft SQL Server\140\DTS\Binn to D:\Program Files\Microsoft SQL Server\140\DTS\Binn. I know one directory is for 32 bit DLLs and the other is for 64 bit DLLs, but I tried it and it worked.

As far as I am concerned this is a bug in the installation process or DTExec.exe.

-Brian