I have had a problem with drill through not updating and I found that the .dqy file was pointing to the wrong server. My old server was SQL Server 2008 R2 and my current server is SQL Server 2012. I made the change in the server name but now I get "Operation is not allowed when the object is closed." error.
I am attaching a screen shot of the error and the text of the new .dqy and stored procedure executed in the .dqy.
The only change I made is switching the server parameter from bpc-sql1\bpcprod to epm-sql1-qa