By the way, you cannot use it while in SharePoint Permission mode
One of the drawback is that this is only working in PWA interface (except for the Business Intelligence part).
Consequently, Project Professional will not allow you to connect to a server while you have an ongoing delegation session.
So now, let's imagine you're in a delegation session in the name of this famous John.
Then, you try to open your MS Project Pro connected to your server and, Surprise, a misleading message appears.
It's not that wrong message as you do have inadequate permissions but not really explicit!
So, next time a user call you with this kind of message, make sure they are not using the delegation in the meantime before trying to check network or permissions to the server!