Strange. The line as I provided is exactly as shown from MSDN as well.

YOu might have to reference the "master" db to change the setting or something.

I am having a similar issue with remote query timeouts. the settings are all at 0 (For infinite), but I still get a timeout/server resource error. MSDN is less than helpful as expected on this issue too. And each of the linked servers being used has essentially unlimited resources for what I need to do.