Gah! I hate how this forum errors out if you take too long writing a reply. Lost all of it 🙁

Anyway, here's a quick re-write.

Firstly, AXIS 0 is the columns, AXIS 1 is the rows, so I would generally write it in that order, but that's not important if you're naming them. Just a style issue so I won't argue about that.

Back to your issue.

The [All] member is not a real member. i.e. you haven't loaded a client into your cube called 'all', it's a system generated aggregate created when the cube is processed. Referring to it works in a direct MDX query, but doesn't make sense when returned to SQL.

Try this query:

SELECT

*

FROM OPENQUERY(OLAP_DWH,

'SELECT NON EMPTY( { [Customer].[Customer ID].Allmembers }) ON ROWS,

{[Measures].[Fact Count] } ON COLUMNS

FROM [SalesCube]')

You will see your 'All' member is returned as the first row, and it's customer ID is null. To select for it you could write something like this:

SELECT

'All' as Customer_ID

,"[Measures].[Fact Count]"

FROM OPENQUERY(OLAP_DWH,

'SELECT NON EMPTY( { [Customer].[Customer ID].Allmembers }) ON ROWS,

{[Measures].[Fact Count] } ON COLUMNS

FROM [SalesCube]')

where "[Customer].[Customer ID].[Customer ID].[MEMBER_CAPTION]" is NULL

Note that the 'All' pseudo-member is part of the [Customer].[Customer ID].Allmembers , but it is excluded in [Customer].[Customer ID].[Customer ID].Allmembers

So another way to write it would be to do the aggregate in SQL

SELECT

'All' as Customer_ID

,SUM (Cast("[Measures].[Fact Count]" as float))

FROM OPENQUERY(OLAP_DWH,

'SELECT NON EMPTY( { [Customer].[Customer ID].[Customer ID].Allmembers }) ON ROWS,

{[Measures].[Fact Count] } ON COLUMNS

FROM [SalesCube]')

Note that all data from MDX is returned to SQL as nvarchar, and you can't sum nvarchar. Floats are generally a crappy datatype, decimal/numeric is far better but you can't cast nvarchars directly to decimals, so float will have to do.

If you are doing this query as part of a report (e.g. for SSRS) then it might make sense to return all customers to the report, excluding the 'All' aggregate (i.e. query the deeper [Customer ID].[Customer ID] level), and then doing the grouping in the Report, enabling drill down to customers if required.