This article http://en.wikipedia.org/wiki/Rounding explains various rounding techniques.

After reading the Wiki article, my guess is that MDX uses it because it is the only deterministic method which is essentially non-biased, also in presence of a predominant sign among samples.

Or simply because it is the .NET default.

Thank you for the article, it opened my eyes to looking closely at current implementation of rounding every time I encounter a new environment or revisit a supposedly familiar one after a while. Assume nothing.