As it turns out, this issue was caused by two things:
1) Ensuring that your security is set to enable Drill Through with ERPi
2) The drill through POV is case sensitive - if you are using an ad-hoc Smart View grid, you must set your POV to exactly the member name (I have a tendency to type in all lowercase when using an ad-hoc grid, when in reality the members are a mix of upper and lower cases)
That said: I noticed that in HFM 126.96.36.199.3 the POV selection in Data Grids (and also Process Control) sets your selection to lowercase for Scenario, View, Value, and several of our custom dimensions. I'm not sure if this is a bug or a configuration issue (the POV has the correct case in Data Forms), however, this prevents drill-through from data grids.