That's an interesting question. Due to the dynamic nature of the PivotTable, I don't think there is a simple solution to do what you describe.
Excel does allow you to add comments to the Cells of the PivotTables.
"Add Comment" does not appear in the standard Right-Click menu for PivotTable Cells; however you can go to the Review Tab of the Ribbon and pick "Add Comment".
That being said, this isn't very useful because the Comments stay with those Cells when the data is reorganized or filtered, so it has the same limitations of placing notes in the Column outside the PivotTable.
VBA could probably be used to enable notes to "move" with the data or labels they reference, using a syntax like GETPIVOTDATA to key on a combination of field references. That would be somewhat complex and only solve part of the problem.
With a PivotTable, the report can change to show entirely different summaries and views of the source data (changing ReportPages, Filtering, Changing Position of RowField Labels, Grouping, Adding/Removing Fields). What would you want to happen to the comments when the data they reference is no longer displayed?