I have tried all sorts of methods in the past via Excel Help etc. - including enabling selection & Format/Autoformat (these work to some extent) /and Styles(Help says PTs use "Normal" style) .... without success. In the end, the workaround is quite successful. I now use separate formatted sheets with formulas like =VLOOKUP() to refer to the table so the method of transfer is :-
Raw data (no formatting) -> Pivot Table (no formatting) -> Report.
For the work that I do this is generally not a problem because I often need several worksheets referencing the one pivot table.
I do not really want Microsoft to improve the formatting facility for PTs because experience shows that, when they add features, the processing time increases. They do a brilliant job very fast at present.