COM_REGISTER_SLAVE failed: Access denied for user 'xxxx'@'localhost'

Setup replication and test that it work.
Create ssh tunnel with stunnel.
Test that the tunnel works with:
mysql -u root -h 10.0.0.1 -P 3310 -p
mysql -u root -h 127.0.0.1 -P 3310 -p

This DO NOT work
mysql -u root -h localhost -P 3310 -p

Change replication:
stop slave;
Change master to master_host='10.0.0.1', master_user='xxxx', master_port=3310 ...;
start slave;
Last IO Error = ... Access denied for user 'xxxx'@'localhost' ...

The problem seems to be that it tries to connect to localhost in stead of the server ip (10.0.0.1).

Localhost is a problem as explained in the article at:
http://pve.proxmox.com/wiki/Stunnel_in_DAB_appliances
Near the following position:
If we use localhost instead of the IP (192.168.5.45) in the above mysql connect string, we will get an error like:

I believe MariaDB it is trying to use a local socket and not 127.0.01 or 10.0.0.1