I am having a similar problem. I am using the AFSDK to connect to AF with different credentials (pure for development reasons, when the application will go live the current user will have the correct rights).
This works fine with the .connect(networkcredentials) overload. Next, I want to connect to the PI Archivie System, same way, same credentials. This throws an 'OSIsoft.AF.PI.PIAuthenticationException'.
I am at a loss since I have set the network credentials to use the username + password (+ domain) that I use to contact the server with SMT and via the System Explorer.