SYMPTOM
Even though all the ID forms of a compound key attribute do not exist on the fact table, that attribute is seen in the fact entry level of that fact table.
This issue is illustrated below with an example from the Strategy Tutorial project.

If a metric based on the above fact is used along with the Distribution Center attribute, an error is received as expected. The error states that this fact does not exist at the level of the Distribution Center attribute.
CAUSE
This is a known issue with Strategy Developer. The attribute is incorrectly seen as the fact entry level. The SQL generation is as expected and the engine correctly figures out that this fact table cannot support the distribution center attribute.
ACTION
Strategy will continue to investigate and post updates as soon as they are available.