Mongodb sharded cluster backup user issue
Once you add a user to the individual shards, which you indicate you have done for MMS, you must then have valid credentials to connect for any purpose, including mongodump.  Up until you added that user for MMS, the shards were running with authentication enabled but with no users populated (this only happens if all your users are in the admin database ans using delegated auth for other databases, otherwise with 2.4 and below you would have at least one shard with users for each database - 2.6+ changes this behavior) and so you were able to connect without credentials.  

Essentially this is a loophole left open so that you don't accidentally lock yourself out of your instances when you turn on auth with no users (and one that would probably have stopped working at some point as default security is tightened anyway).

The bottom line is that you will need to add a user for use with mongodump, and it's a good idea to do so anyway rather than allowing non-authenticated users free access to your instances.  If you are running 2.6 or later, then the built in backup role exists precisely for this purpose, if you are on 2.4 or earlier, then the description for that role gives you a great outline of what is needed to backup successfully (and in particular if you want to backup the users themselves).