Analysis Services supports COM UDF primarily due to backward compatibility because there might be several existing applications using it in production. If you are migrating your Analysis Services 2000 databases containing COM UDFs to Analysis Services 2005 using the migration wizard and need existing applications to utilize UDFs, we recommend using the COM UDFs. If you are very passionate about COM UDFs, you can develop your UDFs as COM libraries. However, COM is being deprecated in Analysis Services 2005, which means that the support for COM UDFs might not be available in future versions. COM UDFs are best suited for applications that do not need significant fine-grain security considerations. Hence we recommend you use COM UDFs only if it is absolutely essential due to backward compatability or for very special circumstances in which you are unable to develop your UDFs in .NET languages.
Even if you have COM UDFs in your Analysis Services implementation, you might be able to port these to .NET using VB.Net. We highly recommend that you use .NET languages for UDFs. Analysis Services 2005 has been architected to leverage maximum benefits of the .NET framework and provides the developers the best aspects of .NET languages, such as the memory management and garbage collection technology provided by .NET languages coupled with fine-grain security settings for the assemblies provided by Analysis Services 2005. If you are already familiar with .NET languages, that is great. If not, seriously consider ramping up and learning at least one .NET language. That ramp-up time will be time well spent. We don't recommend that you attempt to learn a new programming paradigm under some tight development schedule. If you have fine-grain security considerations associated with your business application, then use .NET assemblies. Note that if you will want to perform custom operations on your multidimensional data on your Analysis Services instance using the ADOMD Server Object model, you will have to use the dot Net languages to check stored procedures.