The cause of the problem is that the segments in the Reports are defined as Segment1, Segment2 and Segment3 but in Microsoft Dynamics GP they are called Division, Account and Department;
One solution would be to rename the segments in GP, but would then leave names in the demo company which are not descriptive.
The better solution, and one that is only possible with Management Reporter as it uses a SQL database) is to update the row definition directly on the database;
DimensionCode = 'Account'
DimensionCode = 'Segment2'
Once the above script has been run against the Management Reporter database, opening a Row Definition will show the Link to the Financial Dimensions correctly linking to the Account segment;