Pivot tables are a bit of a pain like that.
From the help menu "Format a Pivot Table report":

Change other character and cell formatting
- Make sure formatting will be preserved if you refresh the report or change its layout: click the report, click PivotTable on the PivotTable toolbar, click Table Options, and then select the Preserve formatting check box.
- Select the part of the PivotTable report you want to format. If you want formatting applied to all such parts, so that when layout changes display parts not currently onscreen, those parts also have the formatting, click the (All) item in the dropdown lists for any page fields, and then make sure the mouse pointer changes to
or
before you click the part you're selecting.
- To apply the formatting changes you want, use the buttons on the Formatting toolbar and the commands on the Format menu.