Usually clients set up one worksheet per cube to do their analysis in, but is there anything that says they can't have multiple worksheets to one cube?You can have multiple spreadsheets attached to the same cube.
Is it possible to set up multiple worksheets, each displaying a different measure set, but have them connected to a single cube?yes.
Bonus question: Linking the navigation so that if they select a specific dimension member in one worksheet, the other worksheets at the same level browse to that specific dimension member as well.Not currently. Each planning spreadsheet is independent. You can do more with VBA, but that will be a consulting activity.