Until the feature gets implemented use custom PivotGridPrintStyle:

Public Class MyPivotGridPrintStyle
    Inherits PivotGridPrintStyle

    Const MIN_SPACE As Integer = 1

    Public Overrides Sub DrawPage(drawArea As Rectangle, graphics As Graphics, pageNumber As Integer)

        If Me.PivotGrid.ColumnHeaderHeight > MIN_SPACE Then
            MyBase.DrawPage(drawArea, graphics, pageNumber)

        Else
            Dim x As Integer = drawArea.X
            Dim y As Integer = drawArea.Y
            Dim scale As SizeF = DirectCast(Me.GetType().BaseType.GetMethod("GetScaleFactors", BindingFlags.Instance Or BindingFlags.NonPublic).Invoke(Me, New Object() {drawArea}), SizeF)

            Dim startColumn As Integer = DirectCast(Me.GetType().BaseType.GetMethod("GetStartColumn", BindingFlags.Instance Or BindingFlags.NonPublic).Invoke(Me, New Object() {pageNumber, drawArea, scale.Width}), Integer)
            Dim endColumn As Integer = DirectCast(Me.GetType().BaseType.GetMethod("GetEndColumn", BindingFlags.Instance Or BindingFlags.NonPublic).Invoke(Me, New Object() {startColumn, drawArea, scale.Width}), Integer)
            Dim startRow As Integer = DirectCast(Me.GetType().BaseType.GetMethod("GetStartRow", BindingFlags.Instance Or BindingFlags.NonPublic).Invoke(Me, New Object() {pageNumber, drawArea, scale.Height}), Integer)
            Dim endRow As Integer = DirectCast(Me.GetType().BaseType.GetMethod("GetEndRow", BindingFlags.Instance Or BindingFlags.NonPublic).Invoke(Me, New Object() {startRow, drawArea, scale.Height}), Integer)

            If Me.PivotGrid.ColumnHeaderHeight <= MIN_SPACE Then
                startRow += 1
            End If

            For i As Integer = startRow To endRow
                x = drawArea.X
                Dim maxHeight As Integer = 0

                For j As Integer = startColumn To endColumn
                    Dim columnWidths = DirectCast(Me.GetType().BaseType.GetField("columnWidths", BindingFlags.Instance Or BindingFlags.NonPublic).GetValue(Me), List(Of Integer))
                    Dim rowHeights = DirectCast(Me.GetType().BaseType.GetField("rowHeights", BindingFlags.Instance Or BindingFlags.NonPublic).GetValue(Me), List(Of Integer))

                    Dim elementRect As New Rectangle(x, y, columnWidths(j), rowHeights(i))
                    Dim printElement As RadPrintElement = Me.GetPrintElementForCell(i, j)
                    printElement.ScaleTransform = scale
                    Dim transformedRect As RectangleF = printElement.GetTransformedBounds(elementRect)

                    Me.PrintElement(printElement, drawArea, elementRect, graphics)
                    x += CInt(Math.Floor(transformedRect.Width))
                    maxHeight = Math.Max(maxHeight, CInt(Math.Floor(transformedRect.Height)))
                Next

                y += maxHeight
            Next
        End If
    End Sub

End Class