I want to sort rows and columns by values (not fieldnames).

One way to do that is like it's done by DevExpress (https://demos.devexpress.com/ASPxPivotGridDemos/OLAP/Browser.aspx). By right clicking a field i can choose for with field, row, column and measurement i want to sort. But even this solution could be more userfriendly.

Another more direct solution would be to sort by clicking on a measurement field or if there is only one, on a fieldname.

Both are just suggestions. But the functionality of sorting by values is really relevant.

http://www.telerik.com/forums/sort-rows-and-columns-by-values

Your friend  devexpress have very nice compact pivot grid layout
https://demos.devexpress.com/MVCxPivotGridDemos/Layout/CompactLayout

Can we also have it on kendo ui ?

Currently there is no way to select database and cube in the analyzer.

http://demos.telerik.com/kendo-ui/pivotgrid/index

Please consider this functionality.