Hi Joris,
I see this also happening in my app and the issue is caused by the default style in the _datagrids.scss file.
.mx-datagrid .mx-datagrid-head-table {
border-width: 0;
background-color: transparent;
}
You can fix this by adding the following to your custom scss file:
.mx-datagrid .mx-datagrid-head-table {
background-color: white;
}
Off course you can replace white with any color.
Hope this helps.