Tom,
You are right about the InfoSet but it's too much work if I want to use navigational attributes at some point. Also I do not like InfoSets when I want to give users the access to queries to create views.
I did try your other suggestion about getting the Shipments data into the Shipment Costs InfoCube using an ETL but I reverted thinking about the complex exception aggregation. Looks like that may be the only option I am left with.
Thanks all.