This is the scenario:
Has anyone faced similar situation? Are there any specific setup for this ?
BR
Geo
This sounds like The Double-Hop Problem and prohibits forwarding of client details from your server to another machine. The issue does not occur when you have IIS and MSMQ on the same machine since there's only one hop (user to server).
There's a lot more technical details published on this at How to use the System.DirectoryServices namespace in ASP.NET, which explains the double-hop issue, and primary and secondary tokens.