Just a quick update, it seems like there is an issue with the recent patch release 10.1.3.5.2_02 ONE-OFF PATCH Essbase Fix that resolves the painful issue of ODI loading data record by record to Essbase when it encounters a rejected record.
It is certainly true that it does fix the data loading problem but it seems to have spawned a new issue around the error logging.
Before the patch was applied and a rejected record was encountered then the error log would display…
Sorry if the image is small but the log says :-
'Mar','Sales','100-10','New York1','Actual','720','Cannot end dataload. Analytic Server Error(1003014): Unknown Member [New York1] in Data Load  Records Completed'
After the patch has been applied loading the same data produces the following error log.
'Mar','Sales','100-10','New York1','Actual','720','Loading failed with error '
You do get the actual record that was rejected but not the member, this is fine if only a couple of records are rejected but if you have a large number of rejections and need to process them then this becomes a real pain.
This bug has been logged with Oracle (Bug 8912703 - AFTER PATCH 10.1.2.3.5.2_02 REJECTED MEMBER INFORMATION IS NOT COMPLETE) so it will be fixed.
I will keep you informed once I hear any further information on it.