Linked Server Configuration using remote user logins
I think you need to check the Impersonate option or not use sa for testing—use another SQL Login instead for testing this functionality. I'm not 100% certain it's required but you may also need to consider ensuring the remote logins have a matching sid on both SQL Server instances as I wrote about in the User mapping to a standby database post if you do not use impersonation so something easy enough to test using sp_helplogins and CREATE Login if needed.

Why

I don't recall where I heard or read about it, or if it's even applicable in this case, but I thought the impersonate rights were inherited implicitly for logins with sysadmin and local db_owner rights.  


  Impersonate
  
  Pass the username and password from the local login to the linked
  server. For SQL Server Authentication, a login with the exact same
  name and password must exist on the remote server. For Windows logins,
  the login must be a valid login on the linked server.
  
  To use impersonation, the configuration must meet the requirement for
  delegation.
  
  
  
  Not be made
  
  Specify that a connection will not be made for logins not defined in
  the list.
  
  Source


Impersonation

If you go with using impersonation, below are a couple syntax examples to use for domain user account logins and local SQL logins which connected to the master DB.

GRANT IMPERSONATE ON LOGIN::[domain\username1_to_be_impersonated] TO [domain\username2]
GRANT IMPERSONATE ON USER::[user1_to_be_impersonated] TO [user2]