Currently the required functionality is not supported int he RadPivotGrid control and the ConnectionString for the OLAP Cube could not be globally set in the web.config.
I will however, log this request in our tracking system so that our dev team could further research on it and decide if such implementation is possible for the PivotGrid control. You could follow the feature request status using the public link below:
Thank you for your feedback.
Check out the Telerik Platform - the only platform that combines a rich set of UI tools with powerful cloud services to develop web, hybrid and native mobile apps.