Analysis Server Properties A-Z: CollationName

The official documentation says...

This property is "A string property that identifies the server collation." according to the documentation.
It is a property which can have a value from the Windows collation list. For those who are familiar only with the SQL engine: Analysis Services supports only Windows collations - no SQL collations are allowed.

How and where it can be set?
In the Language/Collation page of the Analysis Server Properties window:

Analysis Server Properties - Language/Collation page

What happens if the value of this parameter changes?

This change will be applied in the <CollationName> tag of msmdsrv.ini. A change in collation can affect sorting and character comparison. Just for an example, "fruit" and "Fruit" won't be the same if you set a case-sensitive collation (check out this related post of Jamie Thomson).
If you don't specify collation from the client side, then this will be the collation used in the session, which also affects sorting.

Restart needed to apply changes:

No. Your changes are applied immediately.

Category:

N/A. It's a property which is not on the General page.

Default Value:

The value of this property is specified during installation, when Latin1_General_CI_AS is offered by default.