Unfortunately it seems like there is no option to change that. However, a workaround could be the following:
You can set the column caption to an empty space (it may give an error if you have sorting or filtering options in your Data Grid), and then manually place a Tooltip from the Toolbox into the red space shown here:
This way you can have the tooltip on the custom caption we created:
By no means this is a perfect solution, but I hope this can help you with your problem, best regards!