@Rachey There isn't an option in the actual formatting options, but you could create a rectangle shape and change it to match your background and just cover the column names... Not optimal, but it would work.
There is no way as such to hide particular column names in your matrix but you can try naming them with " " (i.e blank or space). Could be used as a workaround. Or you could just rename your column name with a single character (for e.g "i") and then change its font color as per the background. This would work too
I am facing the same issue where i need to hide the column heading. So what i did was i am showing a measure (a text) on top of the coulmn heading. But when i print the report from Power BI service the column heading is also showing even though i have changed the font colors.
My column headings are dynamically changing so that i cannot simply rename the colunm headers.
I have come across the same requirement and below is the alternate solution i found.
Step1: Go to field formatting and change the font color to your matrix header color and don't forget to select the option "Apply to header". This will hide the text from the header as the text color matches the header color.
Step2: Now the values has the same color as your header, go to Fields tab and under field conditional formatting you can change the color of value to your previous value color.
I know, it has lot of work around, but this is the best solution i can think of as of now. Let me know, if it works!