Here is my formula which currently returns #N/A:
=CUBESET("MyConnection","EXISTS([Customers].[Customer Names].MEMBERS,[Date].[Date - Calendar Month].[Calendar Month].&[201312],""CustomerMeasureGroup"")")
If I change it to the following it functions ok but the third argument of EXISTS is required to get the correct number of items in the set:
=CUBESET("MyConnection","EXISTS([Customers].[Customer Names].MEMBERS,[Date].[Date - Calendar Month].[Calendar Month].&[201312])")