SUCCESS!  I have a solution!

I posted an incident report to Microsoft and they actually came up with a response ... and it works!

Just add the...

I shall be intrigued to hear your results.  I am also using Excel 2003, and setting the Safety Options as you described has made no difference.  I do not have...

Thanks for your comments.  I have tried every combination I can think of with still no luck.

According to MSDN, when using OLEDB the property ID should be used, which is...

I am also getting the "Client Safety Option" message when trying to refresh an OLAP cube via Excel. Incidently, this has only occurred since the installation of SQL SP3a.

As suggested...