Have you selected the grid to make it multi-grid? You need to select the Excel range to retrieve data to make it multi-grid.
To create a multiple-grid worksheet:
1 In Excel, connect to an Essbase data source.
2 From any location in the worksheet, select a range of cells (You must select a range rather than only
3 From the Smart View Panel, right click an application, and then select Ad Hoc Analysis.
4 When prompted to change the worksheet to support multiple grids, select Yes.
5 To create a second grid on the worksheet:
a. Select a different range of cells.
b. From the Smart View Panel, right click an application, and then select Ad Hoc Analysis.
6 Repeat step 5 as necessary to add grids to the worksheet.
Refer: http://docs.oracle.com/cd/E17236_01/epm.1112/sv_user.pdf - Chapter: multiple grids on a worksheet
This message typically appears when you have members out of place on the report making Smart View think you are trying to retrieve multiple reports at once. To diagnose, I will typically copy a very small part of the report to another sheet and try to retrieve it. If it works, I expand what is being retrieved until it breaks and I then figure out what is messed up. It only has to be a single member typed in the wrong place t break the report.