Cannot set the initialization properties for OLE DB provider “MSOLAP” for linked server “TABULAR”

Description

When querying a SSAS instance using a linked server on a remote server while the same user also have a RDP session (Active/Inactive) to the same remote server using SSMS or any other method for ex SQL Unit Tests this error is produced:

OLE DB provider "MSOLAP" for linked server "TABULAR" returned message "The following system error occurred: ".
Msg 7373, Level 16, State 2, Line 1
Cannot set the initialization properties for OLE DB provider "MSOLAP" for linked server "TABULAR".

Microsoft Connect Item

Please vote on this connect item if you experience the same https://connect.microsoft.com/SQLServer/feedback/details/1470258

Steps to Reproduce

The setup consists of 3 different machines:
LOCALHOST (LH)
REMOTE SQL SERVER (RSQL)
REMOTE SSAS SERVER (RSSAS)

Ensure that you don’t have a RDP session (active/inactive i.e. disconnected) to RSQL
Create Linked Server to RSSAS on RSQL using a domain service account for security context as below

exec master.dbo.sp_addlinkedserver @server = N'TABULAR', @srvproduct=N'', @provider=N'MSOLAP', @datasrc=N'RSSAS\tabular_2012', @catalog=N'GroupDW'
exec master.dbo.sp_addlinkedsrvlogin @rmtsrvname=N'TABULAR',@useself=N'False',@locallogin=null,@rmtuser=N'domainX\builduser',@rmtpassword='SomePassword'

Scenario 1:

Now execute an open query from LH SSMS on RSQL for example:

select
    *
from
    openquery (TABULAR, 'EVALUATE SUMMARIZE (''#Loan Process'', ''~Data Source''[Source System], "Agreed Final Loan To Income Ratio",[Agreed Final Loan To Income Ratio])')

You get the results back from SSAS as expected

Scenario 2:

Login to RSQL via Remote Desktop to create a RDP Session
Now execute same query as before

OLE DB provider "MSOLAP" for linked server "TABULAR" returned message "The following system error occurred: ".
Msg 7373, Level 16, State 2, Line 1
Cannot set the initialization properties for OLE DB provider "MSOLAP" for linked server "TABULAR".
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