This issue occurred because the server was not configured to allow ad hoc distributed queries. After enabling the setting on the server using this script below the query succeeded.
sp_configure 'ad hoc distributed queries', 1
go
reconfigure with override
go
The info came from this document, and it helped organize the troubleshooting. In short, it recommends the following:
- Make sure the DTC service is running
- Check that the DTC settings to ensure it can access the network
- Ensure the DTC traffic is allowed through any firewalls
- Use SET XACT_ABORT ON in queries
- Enabled the "Ad Hoc Distributed Queries" configuration option in SQL Server