Yes, if I go the Properties on that connection, there is a value "Maximum Number of Records to Retrieve" which defaults to 1000

For the record, I had actually found that I could create a Drillthrough action (in the cube) in which I can choose the maximum number of rows to retrieve as well.

I got it working with 500,000 rows and did not try more (that "should" be enough).

Thanks 😀