The control doesn't listen for changes in the LabelFormat property of its header settings (ColumnHeaderSettings, RowHeaderSettings)

In order to workaround this create new settings each time you want to change the label format:
var headerSettings = new HeatMapColumnHeaderSettings();
headerSettings.LabelFormat = "dd/MM/yyyy";
HeatMap1.ColumnHeaderSettings = headerSettings;

Currently it is not possible to show labels in the cells of the HeatMap. It would be helpful if there is a way (such as a ShowLabels property) to specify whether labels with values should appear inside the cells or not.

Available in Q2 2015 Release.