I just selected the ColumnHeadersDefaultCellStyle property in the Properties window and pressed F1 to open context-sensitive Help. It opened the MSDN documentation to the page for that property and that page contained this:
If visual styles are enabled and EnableHeadersVisualStyles is set to true, all header cells except the TopLeftHeaderCell are painted using the current theme and the ColumnHeadersDefaultCellStyle values are ignored.
I went back to the designer and set the EnableHeadersVisualStyles property to False and, sure enough, I saw in my grid exactly what you apparently expect. All up, it took me about two minutes. At the risk of being accused of making snide remarks, this is how easy it can be to solve your own issues if you just use the Help system built into VS. I've been advocating doing so on this site for well over a decade; since back when I was a newbie with VB and was answering questions on topics I had no experience with simply by using the Help menu in VS. Feel free to think I'm an arrogant ass if you want but please do yourself a favour and use the VS Help system first when you need help.

By the way, I set all those properties in the designer and I'd suggest that you do the same. I tend to recommend setting all properties in the designer that can be and only using code if the values will change after loading or the values won't be known until loading.