I just discovered that drillthrough works in SQL Server 2000 SP4 even when used on calculated measures. I'm pretty sure it doesn't work with SP3. I haven't read about this in the kb888800.
I'd like to know if this is really a bug fixed or if I always misused drillthrough... Anyway, may be it's a very interesting news for many olap developers!
UPDATE: starting from a comment from Mosha I further investigated it and it was a miss on the Drillthrough macro code in Excel, that doesn't include the measure in the generated drillthrough query. So definitely don't consider this post as a real issue.