Cubevalue returning blank (zero length string) when a member is a Cubset function

Question

The CUBESET function returns the appropriate set:

CUBESET("ThisWorkbookDataModel",
    "NONEMPTY([CohortGrowth].[MonthNo].CHILDREN,
        ([CohortGrowth].[CohortYear].&[2],
         [CohortGrowth].[Cohort].&[Denver]))")

= {1,5,6,7,8,9,10,11,12}

The CUBEVALUE with a slicer filter returns the appropriate value:

CUBEVALUE("ThisWorkbookDataModel",
    "[Measures].[Sum of NewGDC]",
    "[CohortGrowth].[CohortYear].&[1]",
    "[CohortGrowth].[Cohort].&[Denver]",
    Slicer_Month_Denver)

= $118,470

Slicer_Month_Denver has selected {1,5,6,7,8,9,10,11,12}

But, when replacing the slicer with the CUBESET in the CUBEVALUE formula, the result is blank (a zero string result):

CUBEVALUE("ThisWorkbookDataModel",
    "[Measures].[Sum of NewGDC]",
    "[CohortGrowth].[CohortYear].&[1]",
    "[CohortGrowth].[Cohort].&[Denver]",
    CUBESET("ThisWorkbookDataModel",
        "NONEMPTY([CohortGrowth].[MonthNo].CHILDREN,
            ([CohortGrowth].[CohortYear].&[2],
             [CohortGrowth].[Cohort].&[Denver]))"))

= [blank]

I also tried putting the CUBESET into a separate cell and referencing the cell but it's the same result.

There are examples of embedding CUBESET into a CUBEVALUE Here and Here.

Any suggestions?