I had this exact same issue, everything I researched suggested it was the Data Warehouse Action Account needed the Execute permission.
We were able to resolve this, using the SQL Server Profiler we could see the initial connection on the Data Warehouse Action Account but then the Operations Manager Computer account was trying to run the OperationsManagerDW Stored Procedures.
The fix was to give the computer account the OpsMgrReader and OpsMgrWriter permissions as well.