7538c605_Data_Mining___SQLServerCentral__Cause_Solution
[Error] 5. Processing of a Mining Dimension Fails – “Source mining model cannot be processed. The algorithm for the source mining model does not support data mining dimensions.” [Cause/Solution] 
Data mining dimensions apparently cannot be built on models that use certain algorithms without causing this error. The only one of the nine algorithms Microsoft included in SSAS 2008 R2 that I have seen trigger this error is Time Series, although I cannot recall if I have tested the others yet or not.
An Informal Compendium of SSAS Errors, Part 2: Data Mining - SQLServerCentral
Cause/Solution