Pivot Table Conditional Formatting not sticking on Data columns

Hello everyone, 

I am using Excel 2007 and am using a Pivot Table with Conditional Formatting. The formatting works fine in the columns that are defined in the "Row Labels" section (i.e. the leftmost columns).

However, even though I specifically included them, the rightmost columns (in the "Data" or Sum Values section) do not keep the formatting when the data is refreshed. In fact, the range I specify for the Conditional Formatting is actually changed to specifically exclude the Data cells.

What am I doing wrong? How can I correct?

Thanks.