В DSO у dim-interface есть свойство isShared.
К сожалению оно Read-Only. Но в BOL по нему имеется приписочка:
"...DSO sets the IsShared property by reading the Name property of the Dimension object. A dimension that is private to a cube has a name of the form MyCube^MyDim , where MyCube is the cube that contains the dimension. A dimension object that can be shared does not have the cube name as a prefix."
Сам не пробовал но может если :
Set dsoDimension = m_dsoDatabase.Dimensions.AddNew("CubeName^Customer")
Вдруг покатит...