How to reproduce check the attached project and video

Workaround: handle the UpdateCompleted event and explicitly set the properties to true

public LocalDataSourceSerializerForm()
{
    InitializeComponent();

    this.radPivotGrid1.AutoExpandColumnHeaders = false;
    this.radPivotGrid1.AutoExpandRowHeaders = false;

    this.radPivotGrid1.UpdateCompleted += radPivotGrid1_UpdateCompleted;
}

private void radPivotGrid1_UpdateCompleted(object sender, EventArgs e)
{
    this.radPivotGrid1.AutoExpandColumnHeaders = true;
    this.radPivotGrid1.AutoExpandRowHeaders = true;
}