Apparently there is no way to connect directly to Essbase. I have had this confirmed by QlikTech in the UK. What I am having to do for a client here is get everything extracted into Excel first and then use that as the source. Not really an ideal solution.
I am going to keep looking for a solution - and will post back here if I find out.
You can export data from Essbase through an essbase calculation script. It is very fast and can export to multiple sources (text, oracle, sqlserver,etc). The command is DATAEXPORT. No additional cost or software needed!!!!!