Imagine you select France in the Country filter and the City filter automatically gets populated with the first available child (Bobigny). After looking at the results you change the selection in the Country filter to Germany and the City filter again gets populated with the first available child (Augsburg).
Have you tried this OLAP report Option under "None Empty" tab: "Filters depend on one another"? It will probably will not select the first available child though.
Yes I have already tried it, but it only affects the available items for selection. By default the "all" item is still selected in the dependend filters.
Basically, what I want to achieve is an elimination of the "all" member in the filters.