Users should be able to select individual or multiple cells of RadPivotGrid.

Available in the 2016 R3 Release.
Please take a look at our help article for more information: 
http://docs.telerik.com/devtools/wpf/controls/radpivotgrid/features/selection

Similar to Excel - RadPivotGrid could have an area, where you can select some filter/group descriptions.

Implement functionality to show a break down of items that aggreagate to current cell.

Available in the 2017 R1 Release (2017.1.117).
For more reference you can check the following help article: http://docs.telerik.com/devtools/wpf/controls/radpivotgrid/features/localdatasourceprovider/drilldown

Currently it is only possible to either show all or hide all subtotals.

Add support for frozen columns. Like in RadGridView or Excel. This way you can scroll the data horizontally while part of the columns are frozen and you can always see them.

We can also consider adding frozen rows like in RadGridView or Excel.

If a group has only one item in it, I only want to show the total row and not being able to expand it.

As a user I want to hide the Grand Totals for specific groups.

RadPivotGrid is loading all data from OLAP Cube. It should be able to use on demand (lazy loading) pattern, so when a group is expanded, a new query is sent and only required data is taken from the server.

Currently when you have null value in a cell, RadPivotGrid considers it as 0. This way when you apply some Aggregate Functions, like Average for example, the result may not be as expected. For example if you have the cells 10, null, 10 RadPivotGrid will show as total the value 6.67 (for Average function). You should be able to exclude null values, so the value 10 will be shown as average for the mentioned cells.

Available in the 2016 R2 release.