For Active Directory shortcuts found in Administrative Tools, Run As is not available in the context menu, and the Run As settings under advanced properties are greyed out. Thanks Microsoft!
To work around this, you need to create your own shortcuts which point directly at the tools you want to use. For example, for Active Directory Users and Computers you will need to create a shortcut to C:\WINDOWS\system32\dsa.msc. This shortcut will have the Run As command available in the context menu.