I cannot understand from your message what is happening in your report, but there is an
an overview of creating a report using analysis services data at
technet.microsoft.com/.../dd252605.aspx
Perhaps that will help?
For connection errors,
If you are using the built in olap report datasource, some things to look at are.
A) In the BIAnalysisServer table, check that there is an entry for your ssas server and that the IsDefault column is true.
B) In the BIAnalysisServicesDatabase table check that there is an entry for your ssas database, that the name for the database in the table is correct, and that the IsDefault setting is true.
If you created your own report data source to connect to the analysis services database, make sure the connection string has the DataSource set to your ssas server and the Initial Catalog set to your database name. The connections should be similar to.
Data Source=[YourServerName];Initial Catalog=Dynamics AX Initial;Integrated Security=SSPI
Also check if the users for the report have been added to an analysis services role that allows access to the cube that the report will query. For initial testing you can put your test account in the analysis services admin role, but the intended users should go into one or more of the roles defined in the analysis services database.
Other connection issues can occur if there is no login for the analysis services account in the sql database, or if the analysis services database did not process successfully, but in your case, since your are seeing data in visual studio or sql management studio, connectivity between analysis services and sql must be working.
Hope this helps,
Lance