Hi All

I had the same issue and found out what was causing it. 

The cube I was trying to Drill Through on had some custom Drill Through Actions defined.  These Actions referenced a Dimension which I had rebuilt since creating the action.  As a result the Dimension details were orphaned inside the XML of the Action. 

You couldn't see it when viewing the Action through the UI but you could see it in the XML.

My solution was to create a new Action and delete the old one.

Hope this saves people some time.

Regards

Peter.