When the SQL Agent job fails, is it throwing the same odbc error as when it fails in BIDS? Are there any events in your server error log that might indicate an authorization failure?

Sorry, but I'm not sure why it's giving you the grief that it is, I'm just trying to run through all of the steps that I would if it were happening to me. None of my connections use odbc, they're all OLE DB or ADO.NET.