Thank you MVP's Tushar and Tom for replying.
Meanwhile, I started doing some tests on different
workbooks.
I CAN apply colour and font formats inside the pivot (not
borders) in a NEW file.
However, if I open the old file (containing 15Mb of data
over 35 dimensions), the possibility of keeping these
formats suddenly dissapears, ALSO for the new workbook.
I would call this an oddity (or maybe the 15Mb file is
corrupted?)

Greetings and many thanks for sharing the knowledge,
Derek (from Belgium)

[Note: if conditional formatting is applied, ALL formats
get lost upon refreshing]