I have the solution.

After the opening of the case in microsoft, this problem was analysed by the support teams and I got an answer today.

The problem seems to be one relationship i've built between a fact table and a dimension table.

In the current release of SSRS and SSAS, a relationship from one entity to another is implicitly to the key of the destination entity.

I was using a Time dimension (the dimension key was "day") and I was building a relationship based on the attribute "month".

So,  the relationship was ignored and my fact table had no relationships and therefore, no identifyers, and that was the cause of the problem.

The solution for my case was relating the month to the first day of the month in the Time table.

I was told Microsoft plans to lift such limitation on the next releases.

Hope this helps for anyone with similar problems

André