Hi Martin,
You may find more details about initial problem in log files from MDAS service in Adaptive Processing Server. Error message in user interface is pretty generic to avoid leaking sensitive details about connection and database to end-users.
By the way, test executed in CMC is not SSO since it requires you to provide a username and password. So problem may in fact be in SSO configuration, since connection works with predefined credentials.
Regards,
Loic