It looks like the documentation for configuring the reporting services for Lync are wrong on the TechNet site.
The article is located here, and mentioned the connection string to be "Data source=(local)\archinst;FailoverPartner=atl-mirror-001\archinst;initial catalog=LcsCDR"
When you change the value to be the correct settings for your environment, I was getting a "Keyword not supported" error as seen below.
After a quick Google search, found an article on Doug Dietterick's Blog, Issue Deploying Lync Server 2013 Monitoring Reports to SQL Mirror.
It turned out to be that the keyword "FailoverPartner" is actually two words "Failover Partner". Once this was updated connection was all good.