Hi Chris,
Old question but I always hate finding a question that pertains exactly to my problem, without an answer.
It appears the datagrid is pulling the padding directly from the datagrid.scss file located in \themesource\datawidgets\web\. You’d need to either apply a custom class to this datagrid, using an edited version of the exact code from from the datagrid.scss file, or change the datagrid file itself – which will apply the change to every grid in your application.
Datagrid2 has the option to get set to ‘Compact’. Will this do: