Yesterday, while presenting about Business Intelligence using SharePoint 2010 Excel Services, we came across the data validation limitation. NOTE: Excel Access Web Part refuses to load a published Excel workbook that contains Data Validation.
Here are couple of interesting articles that are worth reading:
1) A PivotTable Trick That Brings Data Validation to Excel Serviceshttp://blogs.msdn.com/b/excel/archive/2008/02/13/a-pivottable-trick-that-brings-data-validation-to-excel-services.aspx
2) Unsupported Features in Excel Services