I just exited from the SharePoint 2007 odissey to correctly configure settings to get updates from Analysis Services 2005 cubes.
The big problem is the Microsoft Single Sign-On service, that is the single component who really make the data connection to SSAS server. I had to reinstall the WHOLE SharePoint 2007 service to get things done.
The problem is that I found a lot of troubles when I tried to configure Single Sign-On service after a Sharepoint 2007 installation made with a local admin account. When I installed Sharepoint 2007 with a domain administrator account, then everything worked.
Anyway, I would like to emphasize that the security configuration related to this scenario (published Excel spreadsheet getting data from a remote SSAS server) is almost a nightmare: there is the need for a specific documentation for this scenario (that includes every aspect of the configuration) and it should be fine to get more detailed log data when things doesn't work: I found some info on event log, but when I had the single sign-on partially configured (enterprise application definitions were missing) there was no log (neither event log or network traffic to SSAS) to help me to understand where were the problem.
Reading it from a different perspective, there is a lot of space for consultancy on these topic :-) - but frankly I would prefer an easier way to manage it.