I have the exact same problem but haven't come up with a solution yet
either. When I log in as a local user to a PC that is not in the
domain as the Analysis Manager I get a connection error when running my
pivot tables. I log into the domain from that same PC and everything
works fine.

The problem for us is that the PC's in question are for customer
training and we don't want to put them on the domain for security
reasons. Does anyone have any ideas?