From my testing it seems that SPNs need to be setup for the external data source and I was hoping someone could confirm this for me?
Example: client -> connects to report server -> report server then connects to another server with SQL server installed and accesses a database.
On the report server: SQL service & Reporting service both use domain accounts and both have registered SPNs. The Report server also has a registered SPN.
If I connect to a SQL Server that does not have a registered SPN - it fails ("Cannot create a connection to data source #### (rsErrorOpeningConnection). Login failed for user 'NT Authority\Annonymous LOGON'").
Now I connect to a SQL Server that that has registered a SPN - it works fine.
Is this normal that you cannot access external data sources unless they have registered SPNs?