This is caused by an issue with Microsoft Report Builder.  The problem is that Microsoft Report Builder tries to connect directly to the database server when validating the query statements.  It’s a known issue and they have no plans to address it. Microsoft has documentation on this:
Note: We provide links to third-party websites in an effort to help you resolve your issue. We are not responsible for the information on third-party websites, and we cannot assist with implementing resolutions from these websites.

You can use the Report Model Generator (found in the Analysis functional area) to create reports.  The process is allows you to create complex reports with parameters, datasets and subreports.  For more information on creating reports see