SYMPTOM:
When using attribute as selector in Report Services Documents, it is not possible to modify the selections in exported .mht file format with Strategy Web 9.4.1. The following message is displayed:

This selector requires a connection to Strategy Web.

Please note that this document contains selectors set to apply selections as a filter. Such selectors will not operate offline.

3. In the Configure Selector window, uncheck the Apply selections as a filter option as in the example below:

For reference on a similar issue where the Selector object is the one to be configured (not the attribute set as selector), check the following technical note:
KB33200: "The selector requires a connection to MicroStrategy Web" message appears when modifying selections in an exported .mht file in MicroStrategy Web 9.0.1.
Note: Starting in 10.x, and as explained in KB314273: Response regarding replacement of interactive PDF and MHT files, Strategy has also realigned its technology investments into a more robust and long running approach by implementing a proprietary portable file format, namely the .MSTR file format, which replaces the .mht export.