I was really excited about the concept of Shared DataSets when they were introduced. My excitement diminished a little when I ran into a small issue. When you create an embedded data set based on a SSAS Cube that includes a parameter, a hidden dataset is automatically created that provides the parameter values.
Thus creating a drop down list of available choices on the report.
However, if the data set was created from a Shared Dataset the Hidden Dataset is not created when you add the shared dataset to the report. Therefore, the parameter is created, but the drop down list created on the report is empty since a dataset does not exist.
So, if you do not want to write MDX to populate your parameters then you cannot use Share Datasets based on cubes. If you find a workaround for this please email me at email@example.com.
Talk to you soon,
Patrick LeBlanc, MVP, founder SQL Lunch