Querying Your Cube - Getting Started with SQL Server 2012 Cube Development - page 127

You cannot specify members from different dimensions in the same set; they have to
be from the same dimension and from the same hierarchy. The following would be
an invalid set:
{[Product].[Product Hierarchy].[Product
Category].&[1],
[Product].[Product Line Hierarchy].[Product
Line].&[M]}
However, they do not need to be from the same hierarchy level like in this case:
{[Order Date].[Hierarchy].[Calendar
Year].&[2006],
[Order Date].[Hierarchy].[Calendar
Quarter].&[2007]&[1]}
This is considered as a valid set and works in a query, since both members in the set
are from the same dimension and from the same hierarchy within the dimension.
A set can also consist of tuples; the following is an example of this:
{([Product].[Product Hierarchy].[Product
Category].&[1],
[Order Date].[Hierarchy].[Calendar
Year].&[2007]),
([Product].[Product Hierarchy].[Product
Category].&[3],
[Order Date].[Hierarchy].[Calendar
Year].&[2007])}
The order of the members within the tuples has to be the same. In a set, you cannot
specify the order of the members within the first tuple as measure, then date; and
then in the next tuple specify the order to be date, and then measure. Separately,
both of them are correct tuples, but they cannot be combined in the same set since
they are ordered differently.