Because you are attempting to put Cost Group in a position in a relationship where it does not belong. The attribute relationships/keys are how SSAS determines what SQL to run when processing, so if the cardinality of an attribute at a higher level is many to the one attribute being processed then it will not work as it cannot resolve the attribute as unique. Run a trace on your source and do a process of this dimension with and without cost group. Examine the queries that are being run - run them yourself and you will understand why this is happening.
Once you understand this, if you still think that Cost Group belongs in the place that you are putting it, related in the way that you are specifying it, then you can simply instruct SSAS to ignore these errors in the dimension properties.