Google and in particular Eggheadcafe came to the rescue with a solution:
- Connect to Analysis Services from SQL Server Management Studio
- Right Click on the Analysis Services Server name (ie the top most Analysis Services link)
- Choose properties
- Check Show Advanced (All) Properties
- Find the following setting
- OLAP \ Process \ CheckDistinctRecordSortOrder
- Set this value to 0
- Click OK
- Open your OLAP in Visual Studio or BIDS.
- Process the cube.