I found this solution from 3 years ago:
https://connect.microsoft.com/SQLServer/feedback/details/776307/mds-deployment-error-with-default-setup
What worked for me was waiting 15 minutes and adding my user to the read and read execute permissions on web.config. But what is the best practice here? Surely, you can't ask normal users of this program to plumb the depths of the mds directory or wait 15 minutes. Is this a real software?