Thanks to a comment sent by a reader of my M2M paper, I just found a possible bug (or “not supported by design feature”) of the CREATE LOCAL CUBE mdx statement. In short, it seems that a simple many-to-many dimension relationship is supported, but if you have a cube with multiple many-to-many dimension relationships chained together, this statement does not work. More details are described in the bug I opened on Connect site: https://connect.microsoft.com/SQLServer/feedback/ViewFeedback.aspx?FeedbackID=354521
I know that CREATE LOCAL CUBE is not the best way to create local cubes. This paper explains why. However, this is the statement that Excel 2007 uses to create Offile cubes. So, this bug compromise the ability to put a cube offline with Excel 2007 if you have cascading many-to-many relationships chained together.