Most likely reason: According to the doc, the DIST=MCLUS option was added in SAS/STAT 13.2, but you are not running SAS/STAT 13.2.
According to this blog post, SAS/STAT 13.2 was released with SAS 9.4m2. You can determine your version of SAS by submitting
%put &=SYSVLONG;
The result is in the SAS log. If you see a value less than 9.04.01M2... then you are not running a version of SAS that supports that option.
... View more
