Вы забыли написать Non Empty перед выражением на rows & pages.

SELECT * FROM OPENQUERY(OLAP,
'select
NON EMPTY {Measures.Cnt} on columns,
NON EMPTY {Descendants([Sessions].[Session].Members)} on rows,
NON EMPTY {Descendants([Sections], [Section])} on pages
from WebVisits')

Ирина

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