Refer to your maintenance schedule. Based on what I have seen in various forums regarding Honda transmissions it wouldn't be a bad idea to follow the Severe Maintenance Schedule for transmission fluid changes. If you do it yourself, a drain and fill costs about $35 in parts (4 quarts HONDA ATF-Z1 and drain bolt washer). Use Honda's ATF-Z1 fluid, at least while you're still under warranty. If you do a flush, keep in mind that per the manual (2005) a flush is doing a drain and fill three times (drive a few miles between each drain and fill) requiring 12 quarts of ATF-Z1.
Auto Transmission Fluid
There is no automatic transmission filter on Honda Pilot.
HONDA
The 2013 Honda Pilot has a 5-speed automatic.
The 2008 Honda Pilot has a 5-speed automatic.
The 2010 Honda Pilot has a 5-speed automatic.
The 2006 Honda Pilot has a 5-speed automatic.
The 2005 Honda Pilot has a 5-speed automatic.
The 2014 Honda Pilot has a 5-speed automatic.
The 2009 Honda Pilot has a 5-speed automatic.
The 2004 Honda Pilot has a 5-speed automatic.
The 2011 Honda Pilot has a 5-speed automatic.