One feature that has always irritated me greatly is how you cannot alter the connection for a xmla query window via the right click content menu. For .sql, .mdx and .dmx it is an option via the content menu, but not xmla!
Here's some screenshots to emphsize my point.
This is from a sql window;
this is the mdx window;
The option is conspicuous by its absence in the xmla context menu;
So what's the problem here? I don't understand why it's not an option. It is possible, when in the xmla window to change it, but you have to use the Query menu:
I might also point out that this took me way too long to find out, not least because I was so used to using the context menu I did not even think of checking the query menu to change connection!