I opened a case about this issue with microsoft. So I'm going to share the solution.
There is a way to run an MDX without going through a Linked Server an using a plain OLE DB Source, and the Analysis Services 9.0 Driver.
The thing is you have to edit the connection string manually, because this option isn't showed even in the advanced properties.
Data Source=localhost;Initial Catalog=AdventureWorksDW;Provider=MSOLAP.3;Format=Tabular;Integrated Security=SSPI;