Some helpful tricks with LINKMEMBER. Linkmember is used when the cube has multiple hierarchies that could be linked together. Eg. Order Date & Ship Date could be linked together, even though no relationship exists at the fact level. Or in my case Security Code and Security Underlier Code.
The key issue I had was that the HideUnrelatedDimension property was set to false in the cube. This means that you need to explicitly specify the "all" member in the linkmember function, and exclude the all member from the scope of the calculation statement.