I raised this with Microsoft support and their response is that Activity rollup is not supported in CDS environments and there isn't an immediate timeframe to implement it. Instead they will be removing the "include related" button so the SQL error can't be produced/shown to the user.
The activity rollup is only available in a Dynamics environment.
This is a dissapointing outcome for us, the feature itself in terms of it's underlyig technical architecture should be a generic feature. So I cannot understand why the feature is only avlialbe in Dynamics and not CDS. It is not even a specific feature that is related to the Dynamics modules by any appearance and should be added to CDS especially as most people when assessing the product will run into Dynamics documentation that implies that you can do this. I suspect you could easily do this in other low code platforms and probably in something as simple as MS Access.
Please close this down, as "feature NOT available" despite being advertised.