Hi Tom, you are right, BEx Analyzer and Analysis for Office do not allow you to override this during logon procedure.
You could try logging in with SAP Logon and jump to BI clients by using transactions RRMX and RAAOE. But be careful. You will probably be the first human beeing who tries this 
.
A question: you cannot create a new system connection on your own and simply set the 
flag on the network tab in your environment? This would work. (As long as your BW Client and GUI 7.40 versions are not older than approx. 9 months. There were bugs before.)
Good luck,
Lutz