Directly to your questions:
1) For the time being this functionality is not supported by our RadPivotGrid and this text cannot be changed. A request for such is already logged. Feel free to add your vote for it here: http://www.telerik.com/support/pits.aspx#/details/Issue=14307
2) You cannot change the Date format. I have logged this as a feature request in our Public Issue Tracking System - PITS. You can track its progress, subscribe for status changes and add your vote/comment to it on the following link - http://www.telerik.com/support/pits.aspx#/public/winforms/14891
3) You should handle the pivot grid Click event and get the cell under mouse:
sender, EventArgs e)
PivotCellElement cell =
Should you have any other questions or suggestions, do not hesitate to contact us.
the Telerik team