That is the question that I'm am asking by this post.  If I had the answer, I wouldn't have needed to post it.  This design that is in the initial post is in Kimball's Data Warehouse reader as his solution to this problem.  Unfortunately his reader does not provide any technical details, let alone sufficient technical information to implement it beyond the warning to be careful with the filtering.  I assumed that meant setting the calendar to non-aggregatable, but that does not seem to be sufficient.  The answer may lie in the attribute relationships.  If you haven't implemented a solution according to the design above, you're not going to be able to help me.  It's not that I can't do multiple calendars.  There is always the option to add more columns to the date dimension table.  It's that I can't get this particular solution to work properly.  If it weren't from Kimball, I would assume there's something wrong with the design.  But as he says it's the one he uses, someone surely knows how to make the design work in SSAS.