Error with a SQLCMD task

In the environment where I work, we have a DEV, QA and PROD SQL infrastructure. PROD and QA have a cluster. We do some SQLCMD tasks. They worked well in DEV and QA but 1 of them does not work in PROD.

Here is the error message we have:

Msg 18456, Level 14, State 1, Server SQLSERVER2 \ DB2, Line 1 Login failed for user "NT AUTHORITY\ANONYMOUS LOGON".

The task is launched from a SQL 2014 server and will query linked servers (in the PROD cluster and in SQL 2008). When the task starts, we receive the error message above. On the other hand, if we do the same thing from a SQL 2005 server, we get no error and it works correctly.

Could there be a compatibility problem?

Here is the release of SQL 2014: 12.0.5556.0

Here is the release of linked servers in SQL 2008: 10.0.5538.0

Here is the release of SQL 2008 in DEV: 10.0.6000.29

Here is the...