Data Collection reports fail because login is from an untrusted domain

Question

I've set up a data warehouse and Data Collection according to BO. Reports are generated properly when running them in Management Studio running on the server but fail when they are run from Management Studio on a different machine (which is using VPN to connect to the network the SQL Server is on). The error message is:

Failed to connect to server x.x.x.x. --> Login failed. The login is from an untrusted domain and cannot be used with Windows authentication.

The server uses mixed mode authentication. Data Collection is configured to use an SQL Login and the login that tries to generate the report is an SQL Login as well. They've got nothing to do with domains. Why do I get this error?