I found the following 2 articles. You are not the only person that wants this feature. There are work arounds for the issue:

https://connect.microsoft.com/SQLServer/feedback/details/561128/excel-export-create-freeze-pane-on-tablix-header-row-not-page-header-row

https://social.msdn.microsoft.com/Forums/sqlserver/en-US/acd030c4-6502-46c5-89f7-9101b73b31db/how-to-freeze-the-columns-in-excel-exported-from-ssrs-report