In reply to Andrew Hill.

I think you should post programming questions to the SAS Support Community for SAS/IML questions. Please include the relevant section of the SAS log.

Notice that the Mean vector needs to be the same length as the number of columns in the covariance matrix. You might want to get rid of the macro variable and use
read all var _num_ where (_TYPE_="COV") into COV;
Mean = j(1,ncol(COV),0);