Here is a common got-ya.  You are modifying the cube dimension security for a role-playing dimension.  You make the changes and the cube processes successfully.  But when you try to connect to the cube, you get the following error message: The ‘XXX’ attribute in the ‘YYY’ dimension has a generated dimension security expression that is not valid.

The likely cause: You set the security on the database dimension, but should have set it on the cube dimension.  In the dimensions drop down on the Dimension Data tab of the Roles editor, database dimensions are listed first, then cube dimensions second.  So it’s a common mistake to choose the database dimension since it’s listed first and has the same name as the cube dimension.

A cube dimension is an instance of a database dimension within a cube.  A database dimension (also called a shared dimension) can be used in multiple cubes, and multiple cube dimensions can be based on a single database dimension (when this happens the cube dimensions are called a role-playing dimensions).

More info:

Securing Role Playing Dimensions in Analysis Services