If your Site/Catalog/Model database server is different from your Reports database server, you can use linked servers for communication between the data sources. However, if linked servers are not configured correctly, the login may fail when you run queries against a linked server.
For linked servers to work correctly, the following must be true:
The database link must be created on the Site/Catalog/Model database server, not the Reports database server.
The linked server must support SQL Server and Windows Authentication Mode.
You must be connected to SQL Server using Windows Authentication Mode on both servers.
Security account delegation must be available on the client and the sending server.
See the Microsoft SQL Server documentation.