In Pyramid 2018 we do not currently support custom MDX because of the complexity involved in matching things up in the client tools. Since the product now supports multiple scripting types, direct SQL/MDX queries, our internal PQL query engine converts the right UI selections into their proper syntactical language. Making this customizable has some major drawbacks for processing and stability. Instead, we aim to deliver the same customizable outcomes in the query through calculated members, sets and the relationship editors in the modeling.
Never the less, the dev team says there is still a possibility that it will be added sometime in 2018 specifically for MDX.