I’m not exactly sure why SetScale would be ignored by this actor, but I suspect it’s because the cube axes are usually tightly coupled to an explicit bounding box, and scaling the actor would have the same effect as scaling that bounding box directly.
Either way, scaling the cube axes wouldn’t be quite right – it might get the labels back to the correct aspect ratio, but it’d resize the whole cube axes so that it wouldn’t line up with the dataset anymore.