RE: Direct link between anaplan and microsoft analysis services cubes
At this stage the Anaplan Connect data loader provides a command line interface to upload and download files, and trigger imports and exports within the Anaplan server. There isn't built-in support for reading and writing to other data sources, such as MS Analysis Services. However it is quite feasible to use third-party ETL tools in conjunction with Anaplan Connect to automate the process, by extracting the data to a temporary file, and then using the ETL tool to execute a script to push the data up to Anaplan.
Also Anaplan Connect is an open source project, licensed under the Apache 2.0 license, so it can be extended freely by writing either Java or .Net code.