I found the answer over at MSDN - SSAS Client Connection Timeout:
In msmdsrv.ini: <InitialConnectTimeout>10</InitialConnectTimeout>
Perhaps you can verify what SQL does by running a trace when you connect:
Or it maybe even though you are seeing Connection Timeout = 0
in Visual Studio on the client the value on the server could be different.
Also dont forget you could resort to pinging the server for a minute as an alternative to the Connection Timeout setting.