Hi, @Anonymous 

Based on my research, It is unsupported to achieve your requirement with a matrix visual. As a workaround, you may try to use a table visual.

Here is my sample data.
Table:

You may make the table visual selected, go to 'Format' ribbon, click 'Field formatting', choose a filed, select a color, check 'Apply to header', uncheck 'Apply to values'. While in a matrix visual, there is no option as a table visual.

Best Regards

Allan

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