Create New Application Set Fails due to CubePermission

We are trying to create a new Application Set through the admin console modelled after an existing Application Set, not Apshell. On Step 2 of 2, records to copy, we have all boxes checked, including database records.

At the step where the OLAP database is created, we get an error message stating the following.

Error message:The BPCDVLP_Test Role role referenced by the CubePermission permission does not exist in the Apshell_CMG database.

The new app set is Apshell_CMG

The existing app set being copied is BPCDVLP_Test

Any ideas what might be wrong and how to correct this?