This article provides brief information and a resolution to the issue when website Playback fails at the Authentication step when Pass-Through windows authentication is enabled.
All WPM versions
WPM plays back the Recordings using Local Windows Accounts on the Playback Machine. These accounts are generally unable to authenticate the websites which utilize Pass-Through Windows Authentication as they require AD Credentials.
A good example of this would be Sharepoint or the Windows System Center App Controller.
Enable Domain Accounts on the WPM Player. See Use domain accounts in Web Performance Monitor
for more information.