The error can be down to the combination of the source filters and select POV is incorrect, Looking at the slice created Also I don't see any periods or year defined which could be down to a period mapping issue.
I think it is best to take a step back and look at the requirements first,. It might be worh discussing with the HFM admin to understand the POV where the exchange rates are be held. Maybe create a grid in the HFM app to make sure you have the POV correct. Then move these into FDMEE, at the same time make sure you have all the period mappings correct.
You also need to understand how exchange rates are being held in the planning application, is the default currency method that is being used, if so the exchange rates are held in a planning table and then pushed to Essbase. You may need to investigate whether to use the OLU to load the rates.