An Excel Pivot Table, by default, will use the first table style when created. However it turns out that using a style on the table automatically removes the best features of a pivot table formatting: combined borders.
To get proper combined borders, follow these steps:
Convert the PivotTable to Tabular Form. Note that it is possible to use Outline or Compact, however these forms will not show the borders for any columns that aren't in Tabular form.
It will look like this:
Clear the table formatting.
It's done!