WCF: Duplex Callback always Anonymous

I've written a WCF duplex service and client. Everything works well until I try to call .Demand() in the client implementation. It appears that the the service invokes the callback method Anonymously. I think I am missing how to correctly configure the service.

Code used to create ServiceHost;

ServiceHost duplex = new ServiceHost(new ServerWCallbackImpl());           
NetTcpBinding secureBinding = new NetTcpBinding(SecurityMode.Message);
secureBinding.Security.Message.ClientCredentialType = MessageCredentialType.Windows;
duplex.AddServiceEndpoint(typeof(IServerWithCallback),
    secureBinding,
    "net.tcp://localhost:9080/DataService");
Console.WriteLine(Thread.CurrentPrincipal.Identity.Name); //<-- this correctly shows the current principal
duplex.Open();
if (duplex.State == CommunicationState.Opened) ((ServerWCallbackImpl)duplex.SingletonInstance).Send("Hello World!");

Code used to create client;

CallbackImpl callbackInstance = new CallbackImpl();
NetTcpBinding secureBinding = new NetTcpBinding(SecurityMode.Message);
secureBinding.Security.Message.ClientCredentialType = MessageCredentialType.Windows;
DuplexChannelFactory<IServerWithCallback> cf =
        new DuplexChannelFactory<IServerWithCallback>(
            callbackInstance,
            secureBinding,
            new EndpointAddress(requestingEndpointAddress));           
cf.Credentials.Windows.AllowedImpersonationLevel = TokenImpersonationLevel.Impersonation;
cf.Credentials.Windows.ClientCredential = (NetworkCredential)CredentialCache.DefaultCredentials;
IServerWithCallback srv = cf.CreateChannel(new InstanceContext(callbackInstance));
srv.InitiateConversation();

Client implementation;

public void MethodOnClient(string message)
{
    Console.WriteLine(Thread.CurrentPrincipal.Identity.Name);  // <-- anonymous
    PrincipalPermission p = new PrincipalPermission(@"DOMAIN\User", null);
    p.Demand();  // <-- fails
}

How can I configure so that the ServiceHost correctly invokes the Callback with Windows credentials?

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WCF: Duplex Callback always Anonymous

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