Generally the recommended approach to change the background of the grid is to generate a simple style targeted at RadGridView and set its Background within inline Style Setter. I have tried to change the background as you mentioned however in runtime the background is applied to. Regarding your question about column headers you should predefine the template of GridViewHeaderCell and modify the elements which appeared in the corresponding state of the header cell (Background_Over, Background_Selected etc..). You may run through our online documenation for further reference.
All the best,
the Telerik team
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