FYI - If you are using app role security with reporting services, you need to use a custom data extension on the reporting server.  I've got some sample C# code on my blog about how to do it.  (Although fairly simple to do, it takes an enormous amount of boiler plate code to do.  If you download the boiler plate from my blog and start with that, it is a pretty quick process.)

I am one of the few guys who absolutely LOVES SQL app role security, and I'm planning a few more blog posts about App Role Security and connection pooling.  The first about code patterns needed to get basic .NET connection pooling working, and the second on using custom connection pooling (where you keep the connection open without issuing an sp_unsetapprole and returning it to the pool).  Be patient with me, I'm a little behind in my blog because I have a < 3wks old infant at home that is taking up a lot of my energy. 

If anyone is having trouble with app roles, they are more than welcome to contact me.