Indeed there are some problems related to the Blend support of RadGridView in Silverlight. We are currently working to provide a fix for it. As an alternative, you can also manually extract the template for the GridViewHeaderCell / GridViewFooterCell that is available with the installation files of the RadControls. You can find it together with all the other templates used for the GridView inside "Telerik.Windows.Controls.GridView.xaml"file browsing to "InstallationFolder\Silverlight\Themes\OfficeBlack\Themes" folder.
Please excuse us for the inconvenience caused!
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