Are you using the Excel Add-in for SQL Server Analysis Services? According to this document, it supports server-side formatting.
· Server formatting – A cube designer can assign number formats to measures on the server. If you enable server side number formats, the add-in retrieves the full-precision value of the cell, and also retrieves the defined number format and applies that format to the cell. This allows you to create formulas that do not have rounding errors. In addition, a designer can create server-based conditional formats that look at data more detailed than what you see on the report. For example, cell formatting defined in a cube could make the Profit background color appear red if any of the children of the current member has a low profit percent. To enable server formatting, on the Cube Analysis menu, click Options. Activate the Format tab and select which server formats to apply.