Change Pivot Items via VBA does not work

Hi Guys,

i have Source data with dates from 01.01.2020 until 30.12.2020.

From this i created pivot table and what want to do is to change all Pivot Items names to corresponding month.

Using this code:

Option Explicit

Sub test()

Dim pt As PivotTable

With Sheet2

Set pt = .PivotTables(1)

Dim pi As PivotItem

With pt
  For Each pi In .PivotFields("Dates").PivotItems
    
    Dim monthNaming As String
    Dim MonthFormat As String
    On Error Resume Next
    
        MonthFormat = Format(pi.Name, "yyyy-dd-mm")
        monthNaming = StrConv(MonthName(CLng(Month(CDate(MonthFormat)))), vbProperCase)
        If Err.Number = 0 Then
            pi.Name = monthNaming
        End If
    On Error GoTo 0
    
  Next pi
End With
  
End With

End Sub

and this is working only for first row!
Why? Can anybody help?
Very strange.

Best,
Jacek