When I tried connecting to my cube from Dashboard Designer, I got the wonderful error “The PerformancePoint Server could not connect to the specified data source. Verify that either the current user or application pool user has Read permissions to the the data source, depending on your security configuration. Also verifty that all required connection information is provided and correct.”
This was caused by the application pool PPSMonitoringWebService running as the wrong account. No matter what else you do you have to make sure that account has permissions to your database.