Seems like you are running into a limitation in SQL Server. In SQL Server, the maximum possible precision for the decimal data type is 38. Other environments may have different limits. Also, some environment may have a more dynamic decimal data type where precision/scale depends on the actual value. Then again, this must be reported as something fixed to SQL Server, since all values in a column must have the same data type.
I don't know anything about Rocket U2 Universe, but you may need to run something like this:
SELECT col FROM OPENQUERY('ROCKETU2', 'SELECT cast(col AS decimal(38,10)) FROM tbl')
To force a data type that SQL Server can handle.