Чего-то у меня не получается воспроизвести Вашу ситуацию с запятой:

if exists(select * from master..sysservers where srvname = 'MSOLAP2') exec sp_dropserver 'MSOLAP2', 'droplogins'
exec sp_addlinkedserver @server = 'MSOLAP2', @srvproduct = 'MSOLAP', @provider = 'MSOLAP.2', @datasrc = 'localhost', @catalog = 'FoodMart 2000'
exec sp_addlinkedsrvlogin @rmtsrvname = 'MSOLAP2', @useself = 'true'

--exec sp_tables_ex 'MSOLAP2'

select * from openquery(MSOLAP2, 'select {Measures.[Unit Sales], Measures.[Store Sales], Measures.[Store Cost]} on columns,
Customers.[USA].Children on rows from Sales where Product.Drink')

[Customers].[Country].[MEMBER_CAPTION] [Customers].[State Province].[MEMBER_CAPTION] [Measures].[Unit Sales] [Measures].[Store Sales] [Measures].[Store Cost]
---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
USA CA 7102 14203.24 5662.2735999999995
USA OR 6106 12137.289999999999 4836.3541999999989
USA WA 11389 22495.68 8978.6067999999977

(3 row(s) affected)

Как Вы делаете?