how did you configure the Security tab of the Linked Server Properties?
I attached a screen shot where I erased the login names.
In the red area you can assign a remote user (that is the user who logs on to Analysis Services) to a local user (the login used for the SQL Server database).
In the blue area you can use a standard login for SSAS. I would only use this for testing purposes because that would mean that everybody, who can connect to SQL Server database, can connect to SSAS as well.
In both cases you have to specify the Windows account (as Domain\Username), which should log on to SSAS, in the remote user/login-field.
For your problem, I would try the "blue" thing. If you can connect to SSAS, you know your problem is security-related.
I hope this was of any help.