Actually, I do this now without the latest version. Basically, in my Data source I would have a column/property for "MonthNo" and bind that to one of the Fields, so that sorting works as expected. Next, in the Field template, I would add a Label control which Binds to a function in the Web Forms code-behind:
Text="<%# Me.GetMonthName(Container.DataItem)%>" />
And that's it!
You'll have to refer to my other work-around on the PivotGrid losing Templates on PostBacks in order to resolve that issue.