Identify the css class of the empty caption with Firebug and then you can change the css attributes of the header. Something like:
.mendixDataGrid_tableRow {
display:none !important;
}
This is the easiest way. In order to do this only at the places where you want this, add a css class to your grid and you can use this to only remove the captions where you'd like it:
.yourcustomgridcssclass .mendixDataGrid_tableRow {
display:none !important;
}
You can change this class in your custom theming. First try it in firebug, if it works you can add this code to your theming stylesheet.
Edit: changing the padding, padding and height will not work, so I removed the css code example. Instead you can use display:none.