You need to set a property on the attribute within the dimension in the SSAS database. The property that you will need to set is 'InstanceSelection' this defaults to None, so you will need to change this to DropDown, List, FilteredList, or MandatoryFilter.

InstanceSelection

Determines the client application behavior for selecting instances of the entity, based on the expected number of total instances. There are four options:

Dropdown: Use when the number of instances is small enough to fit in a simple drop-down list.

List: Use when the number of instances is too large for a simple drop-down list but does not require pre-filtering.

FilteredList: Use when the number of instances is large enough to require that the user filter the values before the user can select instances.

MandatoryFilter: Use when the number of instances is so large that users are prevented from building queries on this entity without filtering.