какие SP стоят?

End-user security in Analysis Services is based on Windows user accounts and groups.

• A database role can be assigned to multiple cubes or mining models in a database. Database roles provide default permissions for cube or mining model roles. By default, a database role specifies only read access and does not limit the dimension members or cube cells visible to end users. You can, however, specify read/write access and limit dimension members that are visible and updatable.

• A cube role applies to a single cube. Defaults in a cube role are derived from the database role of the same name, but some of these defaults can be overridden in the cube role. In addition to the database role features of specifying read/write access and limiting dimension members that are visible and updatable, a cube role also enables you to specify cell-level security. Cell-level security has less memory overhead than dimension security.

В принципе все должно работать, если только все юзверы не в группе Administrators или OLAP Administrator

А если отключить все роли, будет доступ?

Ребята, что то вы не так делаете
только OLAP Administrator или Administrtors имеют доступ ко всем кубам
какой провайдер в Excel'e используете
можете connection string показать?