This is for DBAs out there who are using OPENROWSET to collect data from multiple instances. I also found a new method.
Try to execute following before your script
execute as login = 'sa'
GO
so your full script would look like
execute as login = 'sa'
GO
select *
FROM
OPENROWSET('SQLOLEDB',
'Server=SQLREPLON1\REP;Trusted_Connection=yes;',
'SELECT GETDATE() AS [RADHE]')
You will need sysadmin or IMPERSONATE ANY LOGIN privileges for this to work.
Disclaimer:
if you are executing from Query Window it will work. If you are running from a job, you need to make sa job owner. This might also need more steps involving SQL Server service account, SPN configuration but I have not tested it yet.