Still experiencing this issue in 3.1.2. I raised it with Esri customer care and got this response:
"There was a bug logged - BUG-000119890 When editing the graticule labels appearance in ArcGIS Pro 2.3, the symbol properties do not honor the rotation.
This has been marked as designed by Esri - their reason is Grid labels are designed to be shown either vertically or horizontally to support all the labeling properties needed to get labels in the correct place.
That said if you do need to rotate the labels - then converting to graphics is your option."
I got around the issue by converting the grid to graphics and manually rotating the labels, but this was a time-consuming process that I'd rather avoid when working to a tight deadline! It would be nice to be able to set a rotation value in the text formatting instead.