You need to make sure you are on SP2 or higher with SSRS 2005. Sounds like you are still on SP1 when this was removed and this was primarily for SSAS because it does not leverage the 'All' member in the dimension which is a performance hit.
What's new with SSRS 2005 SP2
You will probably want to go with SP3 which was released this past December.
SQL Server 2005 Service Pack 3 (SP3) – now available
You can check your build number to verify this, but I would guess that you are on SP1.
SQL Server 2005 Build List[/url]