In the Table Options, you should also turn off Autoformat Table.
In some versions of Excel, you may have to enable selection (From the
Pivot toolbar, choose PivotTable>Select, and click on Enable Selection)
Before formatting cells, use the selection feature to select the cells.
For example, move the pointer to the top of a column in the pivot table
(just above the column's heading cell). When the black arrow appears
(like the one that appears when the pointer is over a column button),
click to select the column in the pivot table. Then apply the formatting.
If that doesn't work, you could record a macro as you refresh and
reformat the pivot table. Then, run that when you want to update.