If you get an error trying to create chained relationships in PowerPivot (i.e. Customers - Orders - OrderDetails), there is a known issue with a possible workaround. The item is described on Connect, but here is the issue and the workaround:
ISSUE: A relationship between two tables A and B cannot be created if a relationship between B and C already exists using the same column in B that is also used to relate B to C.
Creating relationship in the opposite order works. Thus, if you create the relationship between A and B and only then the relationship between B and C (using the same column of B), the two relationships can be created.
This is strange because the final result should be not affected by the order of creation of the relationships.
WORKAROUND: Start creating relationships starting from the top-side. In other words, create A-B and then B-C, instead of B-C followed by A-B. If you already have B-C and need to create A-B, remove the B-C relationship, then create A-B and finally recreate B-C.