You can leave the design as you have it, or even add the weeks to the "Calendar Time" hierarchy, thus only having one hierarchy as requested by the users. This is just what Microsoft calls a non-natural hierarchy. Analysis Services query response time is much slower for these than for natural hierarchies (those with all child levels having a relationship to their parent level). That is why you get a warning in BIDS. You just will have to test if the performance is good enough for your users. If it is, fine. If it is not, maybe fall back from the one-hierarchy solution to the two hierarchy solution described in your question. Then at least the first hierarchy would be fast, and only the second have bad performance.
There are other solutions, but they are all a bit unnatural: Some companies define months to have exactly four or five weeks so that the relationship can be set, but a reporting month starts or ends a few days before or after the calendar month. See e. g. the 4-4-5 calendar article in Wikipedia.