I have exactly the same problem, and setting RouterOS tick box as well as username/password didn't work for me.
I see the "dude" user logged in to the remote ROS device.
As a test, I am just trying to create a Data Source with the following code to display the frequency of a given AP:.
ros_command(":put [/interface wireless get wlan1 frequency];");
This command (run directly in the terminal of the remote device) returns the correct frequency, but in the Dude I always get a return value of "0".
Okay, solved. Actually the ";" was too much, this code in the data source works like a charm :
ros_command(":put [/interface wireless get wlan1 frequency]")