We had this same Problem. Be aware that you will have to to to Control
Panel, User Accounts, Advanced, Manage Passwords then Add 2 Accounts, one for
the Project Server, the other for the Server that SharePoint is on if they
reside on 2 separate servers. For example, you'll need to enter the Server
Name, then your user name including where the user name will be authenticated
such as MPH\yourusuername, then the password that Project server is requiring
you to authenticate to. You'll have to add an additional user name for the
SharePoint server if sharepoint resides on a separate server. We have a lot
of consultants who need to connect to Project Server using Project Pro and
this worked like a charm.