Truth is, I never understood what this message above meant, so I just ignored it.
Yesterday I went to an SQL User Group about PowerPivot and PowerView, a very interesting lecture by
Peter Myers, and now I finally understand.
The blue squiggly line under Dim Date is due to that fact that in the Properties window,
the AttributeHierarchVisible is set to "True", while as you can clearly see there is a perfectly reasonable Hierarchy defined. Hiding those features (setting them to False in the properties window), removes the squiggly blue line and resolve this error