FOR SQL Server 2008 R2 we solved the issue with this workaround:
SELECT * FROM OPENQUERY ([YOURSERVER\INSTANCE],'EXEC [YOUR_DB_NAME].[dbo].[YOUR_SP_TO_EXEC]')
To Enable local use of Linked_Server
exec sp_serveroption @server = 'YOURSERVER\INSTANCE' ,@optname = 'DATA ACCESS' ,@optvalue = 'TRUE'
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