Have you checked that your other settings are correct? The region, schema name and whatnot? Are you using IAM authentication? That error comes directly from Athena (not Redash) so you should consult their documentation as well.
Are any of the S3 buckets encrypted using KMS keys? If so the Redash user will also need kms:GenerateDataKey and kms:Decrypt permissions to the relevant KMS keys or you will get an (unhelpful!) Access Denied error.