I had same problem as you even with Windows Autehntication set and I finally had to set-up an SQL authentication against the SQL database and this way it finally worked. I think the problem was that the Agent Handler on my DMZ wasn't on the same domain as ePO server and (I don't know why) it didn't send the right credentials
I had similar issues and resolved it by making the user a dbcreator on the SQL database and it worked.
Windows Authentication was used
User was already a dbo on the ePO database on the SQL server.
Made user a dbcreator on the SQL database.