Interesting and weird is an understatement. Not sure how much help the MDX gives but I got this from Profiler when i ran a Refresh on the sheet. I'm not sure this is isolated to excel because the same thing happens in the Cube browser

SELECT

NON EMPTY CrossJoin(Hierarchize(DrilldownMember({{DrilldownLevel({[Dim Date].[FSCL_YM].[All]})}},

{[Dim Date].[FSCL_YM].[Year No].&[2015]})),

{[Measures].[SOME MEASURE],

[Measures].[SOME MEASURE],

[Measures].[SOME MEASURE]})

DIMENSION PROPERTIES PARENT_UNIQUE_NAME,[Dim Date].[FSCL_YM].[Month Nm].[Quarter No] ON COLUMNS ,

NON EMPTY Hierarchize({DrilldownLevel({[Dim Segment].[SEGMENT_HCY].[All]})}) DIMENSION PROPERTIES PARENT_UNIQUE_NAME ON ROWS

FROM

(SELECT ({[Dim Date].[FSCL_YM].[Month Nm].&[2015]&[2],

[Dim Date].[FSCL_YM].[Month Nm].&[2015]&[1]}) ON COLUMNS ,

({[Dim Segment].[SEGMENT_HCY].[Segment NM].&[ERASED],

[Dim Segment].[SEGMENT_HCY].[Segment NM].&[ERASED],

[Dim Segment].[SEGMENT_HCY].[Segment NM].&[ERASED]}) ON ROWS

FROM [VESFINCUBE_TRA]) CELL PROPERTIES VALUE,

FORMAT_STRING, LANGUAGE, BACK_COLOR, FORE_COLOR, FONT_FLAGS