Can't Build Project Server 2007 Analysis Cube

I've set up a 2-server farm for MOSS 2007 and Project Server 2007.  One machine runs MOSS and Project (both SP1).  The second machine runs SQL 2005 SP2.

I hope that someone can help me figure out how to successfully build an Analysis Cube in Project Server 2007.  Has anyone made this work?  It seems I've tried everything under the sun.  On my latest installation of MOSS 2007 and Project 2007, I get the following error:

===== Initiating cube build process =====
[7/15/2008 8:58 AM] Cube build request message has been added to the Project Server queue
===== Verifying and running pre-build server event handler =====
[7/15/2008 8:58 AM] Verifying and running pre-build server event handler
===== Determining database and cube structure =====
[7/15/2008 8:58 AM] Cube build initialization started
[7/15/2008 8:58 AM] OLAP database and cube structure was determined successfully
===== Building database and cubes =====
[7/15/2008 8:58 AM] Cube build session started
[7/15/2008 8:58 AM] Analysis Services session started
[7/15/2008 8:58 AM] Analysis Services session failed with the following error: Failed to connect to the Analysis Services server <servername>. Error: ActiveX component can't create object
===== Process Completed =====
[7/15/2008 8:58 AM] Failed to build the OLAP cubes. Error: Analysis Services session failed with the following error: Failed to connect to the Analysis Services server <servername>. Error: ActiveX component can't create object

I've searched the internet for weeks.  I've followed the instructions in the book "Implementing and Administering Microsoft Office Project Server 2007" by Gary Chefetz and Dale Howard.  I have referred to Brian Smith's blog:
http://blogs.msdn.com/brismith/archive/2007/03/09/activex-component-can-t-create-object-cube-build-failure-against-sql-server-2005-analysis-services.aspx
and the Technet instructions:
http://technet.microsoft.com/en-us/library/cc197552.aspx (I've tried both Option 1 and Option 2)

I've worked with installing and updating the SQL 2005 Feature pack programs in various places:
Microsoft SQL Server Native Client (sqlncli.msi)
Microsoft SQL Server 2005 Management Objects Collection (sqlserver2005_xmo.msi)
Microsoft SQL Server 2005 Backward Compatibility Components (SQLServer2005_BC.msi)

I've installed all client requirements on my machine when testing from it as a client:
Enabling "Access data source across domains" in IE security.
MSXML 6.0
Anlaysis Services 9.0 OLE DB Provider

Here is what I've tried:
1.  Project 2007 SP1 installed alone, using a named instance of SQL 2005 SP2 on the second server.  Installing the SQL 2005 feature pack requirements on the Project machine, with Analysis Services on the SQL machine.  Tried Option 1 and Option 2.  Tried changing path names to full \\<servername>\... references.

2.  Project 2007 SP1 installed alone, using a default instance of SQL 2005 SP2 on the second server.  Installing the SQL 2005 feature pack requirements on the Project machine, with Analysis Services on the SQL machine. Tried Option 1 and Option 2.  Tried Option 1 and Option 2.  Tried changing path names to full \\<servername>\... references.

3.  MOSS SP1 and Project 2007 SP1 installed together, using a default instance of SQL 2005 SP2 on the second server.  Installing the SQL 2005 feature pack requirements on the Project machine, with Analysis Services on the SQL machine. Tried Option 1 and Option 2.  Tried changing path names to full \\<servername>\... references.

4. MOSS SP1 and Project 2007 SP1 installed together, using a default instance of SQL 2005 SP2 on the second server.  Installing the SQL 2005 feature pack requirements on the Project machine.  Installed an instance of Analysis Services on the MOSS/Project machine. Applied SP2 to the instance of Analysis Services.  Tried Option 1 and Option 2.  Tried changing path names to full \\<servername>\... references.

5. MOSS SP1 and Project 2007 SP1 installed together, using a default instance of SQL 2005 SP2 on the second server. UN-installed the instance of Analysis Services on the MOSS/Project machine.  UN-installed the SQL 2005 feature pack requirements on the Project machine.  Re-installed an instance of Analysis Services on the MOSS/Project machine. Applied SP2 to the instance of Analysis Services.  Tried Option 1 and Option 2.  Tried changing path names to full \\<servername>\... references.

Databases are on the SQL 2005 machine.  Here is some relevant account security information about what is on SQL 2005:

I have added the SSPAdmin account as an administrator in Analysis Services, both when I was trying the AS instance on the SQL machine, and after I installed an instance directly on the MOSS/Project machine.  I gave the SSPAdmin db_owner priveleges on the Analysis Repository database. I did the same for the sharepoint_config account and the sharepoint_app_pool account.

I gave the account running Analysis Services db_datareader priveleges on the ProjectServer_Reporting database.  The SSPAdmin account has db_datareader, db_datawriter, db_ddladmin, and ProjectServerRole security priveleges on the ProjectServer_Reporting database.