In the past couple months, this scenario has occurred twice. So thought I'd share a quick remedy ~ and save for my future reference when this occurs again :).
In Star Schemas, there are sometimes occasions where the data quality isn't exactly perfect. And sometimes, for some users/companies, this is acceptable. By default, SAS will not allow missing dimension keys into OLAP cubes and generate an error and stop processing altogether. However if missing dimension keys are okay for your situation, click the Advanced button on the initial edit/create cube screen, move to the Star Schema Options tab and select something other than 'Print the error & stop processing'.