I had the same problem, but have not found a solution yet

The cause

http://connect.microsoft.com/SQLServer/feedback/ViewFeedback.aspx?FeedbackID=370335

If someone has found a workaround I'd appreciate them posting it.

I'm currently using OPENQUERY(LinkedServerName,'Select [DatabaseName].[SchemaName].[UDFName](ParameterValue)') as a...