This is a very little known problem regarding how SSRS query designer having trouble showing cells with MDX error.
I created an MDX query to create a result cell that shows an error
member measures.ErrorCell as [somethingbad]
select measures.ErrorCell on 0 from [Adventure Works]
If you run the following MDX query in SSMS MDX query editor, the error cell shows #Error
If you double click on the error cell, the cell property shows the detail error message
If you run the same MDX query in SSRS query designer, which is also used in the Cube Browser, the cell value is not shown. SSRS treats a result cell that contains error as a null cell.
The lesson I learned is always use SSMS MDX query tool to check the query results for an SSRS report.