As you probably now, Reporting Services doesn't allow you to create subscriptions with data sources that use Windows security because subsbscriptions are run in unattended mode. Moving to SQL Server 2012, we'll add Data Alerts to the list. This presents an issue if you use Analysis Services which only supports Windows security. The only option is to use Stored Credentials with the "Use as Windows credentials" checkbox checked. You won't able to pass the user identity by checking "Set execution context to this account". As with previous releases, "Set execution context to this account" works with the SQL Server data but it doesn't work with the Analysis Services provider.

I raised this issue to Microsoft and I posted a bug report. The issue is under investigation but it's unlikely to get fixed before SQL Server 2012 ships. Please vote!