Checking on support.sas.com, I turned up the following notes indicating you CANNOT use an OLE DB connection from EG to Cognos. According to these links, the reason is that Cognos is not an OLE DB for OLAP compliant data provider.
Both these links are about 8 years old... but I think the information is still accurate. It's really Cognos not providing the ability to access their cubes that seems to be the problem. If you'd like to verify this, or ask about alternatives to accessing the Cognos data, you can contact tech support (for free) using the following methods:
Thanks for the assist and direction. I was afraid that this was the case but wanted to bounce the question to the community at large and to see if they had any ideas on the subject. It is unfortunate that the data format is locked down by Cognos and thus users have lost the abilty to interact with it in the analysis platform of their choice. Many thanks!!!