Dim xla As New ExcelApplication()
Dim wb As Workbook = xla.Open("C:\MySpreadsheet.xlsx")
Dim ws As Worksheet = wb.Worksheets(0)
ws.PivotTables(0).PivotTableSettings.ShowEmptyValueCaption= true;
While ShowEmptyValueCaption is true by default, EmptyValueCaption also needs to be set.