RESOLUTION:
Configure a sudo entry in the /etc/pam.conf file.
If you have Authentication Services installed on the same server, then you can run the following command to update the pam.conf file:
# /opt/quest/bin/vastool configure pam sudo
Note that Privilege Manager for Sudo only supports using PAM and so it will not work without that configured.
Even when using LAM authentication on an AIX server you must have a sudo entry in the pam.conf file.
You can check the type of authentication configured on the the AIX server by checking the auth_type entry in the following file:
/etc/security/login.cfg
E.g:
------------------------
auth_type = STD_AUTH
auth_type = PAM_AUTH
------------------------
Where STD_AUTH is LAM.