You need to add custom styling in that case. A simple example is below:
Add a file .scss in your project folder under theme->web and add the below scss
Include the file that you created in your main.scss file like:
Run the app:
If you need to change only one datagrid, give it a class and ensure that you change only that datagrid’s header.
Possibilities are limitless and you can change as per your requirement.