Welcome to the Qlik Community and thanks for your question.
Which Data Connection are you using - I assume OLE / DB - as there is a driver provided by MS for this:
If that is the case - I believe the proper way to do this would be to use the data load editor instead of the wizard and issue the appropriate MDX to pull back the columns and data. It is not ideal in this situation, but we usually recommend going after the source tables in MS SQL Server (if available) instead of the MS OLAP cubes.
let me know your thoughts and how you do.
When applicable please mark the appropriate replies as CORRECT. This will help community members and Qlik Employees know which discussions have already been addressed and have a possible known solution. Please mark threads as HELPFUL if the provided solution is helpful to the problem, but does not necessarily solve the indicated problem. You can mark multiple threads as HELPFUL if you feel additional info is useful to others.