AdomdConnectionException using PerformancePoint hitting Analysis Services

I was working with a customer who was encountering problems trying to use a PerformancePoint Dashboard against an Analysis Services Instance. The issue came down to the Claims to Windows Token Service (C2WTS) configuration. This is used to take the Claims context and convert it to a Windows Token for use to backend servers.

When trying to create a Data Source within PerformancePoint Dashboard Designer, using the Unattended Service Account, the test succeeds. If we switch that over to Per-user Identity, we see the following: