The fact that there's now a HAVING clause at all in AS2005 MDX doesn't seem to be publicly documented anywhere, as far as I know; it's one of those hidden features we found out about while researching 'MDX Solutions'. While George has a full write-up on how it behaves in the book (coming soon to a store near you) here's a quick overview of what it does...
Basically, it allows you to filter the contents of an axis without having to use the FILTER function.