Based on what I saw in your query, I'll assume that you're trying to set the default to the first day of the current month.
For the Default Value of your parameter, you don't need to choose "Get values from a query", it should work just fine if you select "Specify values", click the Add button to add a value and then use the Expression Builder to construct a value that your dimension recognizes (click the small fx button on the right of the Null value).
So what you need to get to is something like this (as result of the expression):
[Dates].[Full Date].&[2009-12-01T00:00:00]
That can be achieved with the expression in the snippet.
Regards,
Valentino.
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="[Dates].[Full Date].&[" & Year(Now()) & "-" & Month(Now()) & "-01T00:00:00]"
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