If anyone is interested I have found a workaround. You need to override the OnPaint event of the DataGridView and draw or place your control into that X,Y location.
Code:
protected override void OnPaint(PaintEventArgs e)
{
base.OnPaint(e);
// Draw over the TopLeftHeader.
Rectangle cellBounds = new Rectangle(0, 0, this.RowHeadersWidth, this.ColumnHeadersHeight);
LinearGradientBrush lgb = new LinearGradientBrush(cellBounds, Color.FromArgb(245, 245, 245), Color.FromArgb(220, 220, 220), LinearGradientMode.Vertical);
e.Graphics.FillRectangle(lgb, cellBounds);
}