In general, the required functionality is not supported, but it can be implemented with some custom modification of PivotSettingTarget widget that handles the dimension tags. Here is a demo
that demonstrates how to modify the widget in order to disable "[Product].[Category]" tag:
You can hide the "delete" icon in the dataBound event of the widget, like the "k-state-disabled" class is added in the above Dojo demo.
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