DCOM allows you to start com+ (activex) components executing on another pc or server, but you need to have the correct permission and it needs various services to be running on that server.

When you create a database in TSQL the command is actually executing on the server so it isn't using DCOM.

When you run a command in management studio it needs to start a com+ component on the remote (or local) server in order to do what it needs, but for some reason the com+ component won't start. Check the event log for error messages. Check the services that are running on the server you can link to (the com based ones and the remote connection ones). 

The problem can also be security. You need to have the (windows) permission to start dcom components.

For interest, if you want to look at the authentication required for specific dcom components: on the server type in dcomcnfg (in START/run), then double click on component services and then Computers, then click on My computer and Dcom config. Enter yes to any messages that come up. Right click on the dcom component you are interested in and select properties.

Sorry, I don't know what dcom component management studio uses on the server.

Hope this points you in the right direction. i.e. look at the differences in the services and permissions you have to the problem server and the one that is OK.

Peter