We haven't noticed any issues with changing the connection string at runtime, no matter if the connection was made through http (msmdpump.dll format) or directly. Have you tried the project I've sent you with your cubes?
As you have configured the http access, you can try using our XmlaDataProvider
and see if it will work in this case. XmlaDataProvider is designed to work with msmdpump.dll, so you should be able to integrate it easily in your project.
I'm looking forward to hearing from you.
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