7538c605_Data_Mining___SQLServerCentral__Cause_Solution
[Error] 9. Undefined Key Column in Sequence Clustering – You receive an error containing the message “a key column is not defined” when processing a Sequence Clustering structure. [Cause/Solution] 
One potential answer to this predicament is to make sure that any nested table has a key defined in its DSV. See the answer by Rok1 at http://social.msdn.microsoft.com/Forums/en-US/sqldatamining/thread/cf05cb1e-744e-4a16-b109-f4b55c67c80c for more details. In the case that I encountered, this solution did not work. For some reason, the column in question had been incorrectly autogenerated as PredictOnly in the mining model. After I set it to Key the error was resolved.
An Informal Compendium of SSAS Errors, Part 2: Data Mining - SQLServerCentral
Cause/Solution