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I am creating a user hierarchy for product dimension with AdventureWorksDW in a cube. I have added Product Key, ProductCategory Key and Product Subcategory Key attributes. But, its always giving me a warning "create hierarchy in non parent child dimensions" as a tooltip as I hover my mouse pointer over the Dim Product in Attributes window.

A: 

This is just a warning. It is a best practice to create hierarchies if you can as SSAS can use these to help with indexing and aggregations, but depending on your design it may not be possible (which is why this is a warning and not an error)

If you have a look at the Adventure Works sample cube you will see that they have created attribute relationships and hierarchies in their product dimension.

Darren Gosbell