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Permissions Error Executing R Scripts

Niels Berglund walks through a permissions error on a new installation of SQL Server 2017 CU 7 with Machine Learning Services:

Cool, all is “A-OK”! A couple of days go by, and I see that there is a Cumulative Update (CU) for SQL Server 2017 – CU7. I install it and does not think much about it. I mean: “what can go wrong, how hard can it be?”. A couple of days later and I am busy writing the follow-up post to sp_execute_external_script and SQL Compute Context – I when I try to execute sp_execute_external_script, and it falls over!

Niels has a couple false starts that he walks us through, but then lands on a solid answer.