PerformancePoint comes in three 'chunks' - Planning, Monitoring and Analytics. The planning side is implemented using what was Biz# and in the main appears to work well. The analytics isn't really in the product yet but will be based around Proclarity and Dashboard builder (probably most of Proclarity Dashboard Server). That brings me onto the monitoring which uses Scorecard Builder.
A number of people seem to be having issues with this and I seem to be getting different views from Microsoft as to whether it is indeed functional in CTP1 (I am guessing from the newsgroup questions that some people must be using it).
The initial issue appears to be around creating a new data source where many people have found that after entering the server name into the setup form that the list of AS databases comes up as blank.
The key here is to know that by default the system uses the App Pool user identity as the user to connect to the data sources.
Simple enough, create a new role and add in the user and you're off.
BUT...if for any reason you need to redeploy the model site from PerformancePoint Business Modeler, then the AS databases isn't updated, it is nuked and recreated. Bye-bye new role, create it again.
Obviously longer term when your model site is structurally stable and you are just reprocessing the data this won't be any issue, but in those early stages its just something to watch out for.