When you published the report from Tableau Desktop to Tableau Server, did you remember to use the "Impersonate via embedded password" or "Impersonate via RunAs Account" options as documented at the end of each of these help topics?
Based on what you describe, I'm guessing you missed this step.
yes, I've selected Impersonate via RunAs Account but still doesn't work.
It still asks for the database login information in a web page. The only login password that is accepted is a SQL user where as I expected it to automatically pass the active directory credentials to the database.
Assuming that you granted the RunAs AD user permissions to impersonate (Execute As) each of the AD users who run the report, you should be fine.
Probably best to open up a support case so someone can walk through this with you step by step.