Hi Roy,
I would reccomend you to inspect the HTML structure of the grid and figure out the css class that causes the spacing.
I assume the spacing you are referring to is caused by the css class "widget-datagrid-footer" or class of a nested element.
When you know what css class you want to update you can update your styling. If you want to only update the styling for a single or a selection of grids I would reccomend you creating your own class which overrides the default stylings when applied. If you want to update the styling of all grids you can directly override the classes using your own css (or scss).
You can find more information in the docs.