Date format changes when pivot table is sliced

Question

I have a pivot table with dates on columns and rows. I format the date with a custom format as shown below:

 

However, as soon as I start to apply different slicers, the date format reverts back to the original. Yes, I have the option selected to preserve cell formatting on update checked. The data is coming from the data model. I've tried to format the date in the power pivot model, but this particular format is not available and you cannot create a custom format (and I can't use a FORMAT function because that turns it into TEXT so I can no longer perform date math operations and the sorting goes awry. Have tried linked tables in the PP model, but the date continues to revert. Suggestions?