Thank you for writing and for the attached screen shot.
To style these elements, you have to right-click on the RadGridView inside the Controls Structure panel of the Visual Style Builder and select Show Grouping View. This will change the sub elements shown for the grid view inside the Controls Structure tree. The new sub elements will be the elements you want to theme. To bring back the old elements structure, right-click on the RadGridView and select Reset Control View.
I hope this will answer your questions. If you need further assistance, I would be glad to provide it.
the Telerik team
Q2’11 SP1 of RadControls for WinForms is available for download (see what's new); also available is the Q3'11 Roadmap for Telerik Windows Forms controls.