You would want to handle the Initialize Descriptor events.
InitializeOlapAxisElementDescriptor to customize the Dimensions names
InitializeHierarchyDescriptor to customize the "All " caption names
InitializeMeaureDescriptor to customize the Measures settings, including how it aggregates and format strings

There is demostrations of the Hierarchy and Measure customizations in the samples browser, with a code snippet available here:
https://es.infragistics.com/samples/windows-forms/pivot-grid/pivot-grid-binding-to-flat-data

With the OlapAxisElement customization example is here:

private void Ds_InitializeOlapAxisElementDescriptor(object sender, InitializeOlapAxisElementDescriptorEventArgs e)
{
 switch (e.OlapElementDescriptor.Name)
 {
  case "Nation":
   e.OlapElementDescriptor.Caption = "XXXX";
   break;
  default:
   break;
 }

}

Let me know if that helps,