SYMPTOM:
"Auto fit to contents" setting is not retained when the report is exported to xlsx format for excel version as 2007 or higher in Strategy Web as below:
In Web, "Auto fit to contents" works correctly for Item:

But it is not retained when exported to xlsx:

CAUSE:
This is a known limitation specific to Microsoft Excel export with version 2007 or higher which does not allow column width calculation in advance.
ACTION:
Change the excel version to "xp\2003" in Web preference so that the report will be exported to xls format.