I created my datasource without issue pointed it to the SSAS server and picked the database and cube to use. Saved the datasource and went upon my business of creating the report. Upon trying to create the report against my newly created data source I came across the error below.
An exception occurred while rendering a Web control. The following diagnostic information might help to determine the cause of this problem:
Microsoft.PerformancePoint.Scorecards.BpmException: There was a problem setting the item location URL.
PerformancePoint Services error code 20700.
After searching the web and finding nothing I decided to circle back and double check things. Sure enough after looking at the data source I noticed that the cube I had chosen earlier was now empty. After I selected the cube again from the dropdown everything was fine and I was able to create the report. Anyone familiar with Performance Point will know this is just yet another bug.
Hope this helps someone.