Which "values" did you mean? The measure can't be dragged to Rows bucket of the matrix visual.
As we can't edit the report in Power BI report server web portal directly, to format row headers of the matrix, we need to open the report in Power BI desktop optimized for report server to modify settings.
Yes i can format all row headers as you have mentioned above.
Problem is when values -> show on rows is on I cannot conditional format row header colors. Even though Apply to header is turned on it does not make any effect