I don't know the answer to this specific issue, but I will say there are two ways to open HFM grids in Smart View. The first which you are using, I would call a "push" approach. That is, you are in the HFM web client and you ask HFM to generate an HTML file with an XLS extension and launch Excel to open the html file. I could imagine issues with Excel not wanting to open a non-Excel file that simply has *.XLS" or *.XLSM" for its file name. Maybe the browser can't pass the file along or maybe Excel doesn't like what it sees. If you want Smart View to use this as the basis for an ad hoc grid, you have to then apply an HFM connection even if you can get Excel top open the file.
The more reliable approach I would call the "pull" approach. First go into Excel with Smart View running, and then select the HFM documents from the Smart View connection panel, locate the grid you'd like to open, and let Smart View open the grid in Excel and display the data. Because Smart View already has the context of the application, you can immediately use this for ad hoc analysis. It is much more reliable and does not require the use of an intermediary html file like the "push " approach does.
We have had similar problems with trying to open grids from workspace to Excel.
As Chris mentioned we go to Excel (Smart View) and open the grids from there. It is much more reliable.