I am experiencing the same problem as described. If I try to access a cube from within the console, when logged into the NS VM or the SQL Server VM, I am able to access the cube.
However, if I try from my laptop I get this "authenticate user cannot access the cube" error on any cube I try. I've download the web components and the OLE DB provider as mentioned. I added the FQDN of the SQL server and NS to my trusted sites and verified that the "access data across domains" was enabled for all trusted sites.
Is there a log file somewhere that helps to debug this issue.
My laptop is on a completely different network with many firewalls in between my laptop and the VM's. Is this the issue? If it is what ports/exceptions do I have to request to have opened?