Thanks to a blog reader, I just discovered that if you create a Report Builder Model from a UDM and try to create a report filtering a date field, the date you specify in the filter dialog box is inverted (months with days) when the MDX query is generated. At first glance I thought it was another locale ID compliance problem, but I just tried with en-us and it makes the same error.
The problem shows itself only when you have a day value less or equal to 12. It appears that the conversion is made with CDate function that behaves in that way when it receives a MM-DD-YYYY date format (it inverts the format to DD-MM-YYYY when the DD value is less than or equal to 12). Many thanks to Alberto De Marco who helped me (and many other through this blog) to see this problem.
Now, if someone would have enough time to open a bug with PSS… :-)