When GridViewCheckBoxColumn goes into edit mode the standard CheckBox appears. If you want to maintain the same behavior in edit mode you should change the Indeterminate icon for CheckBox control in the same way and apply it within GridViewCheckBoxColumn's EditorStyle, as shown below:
.....The rest of your style
You may also mark this style as an implicit without specifying the x:Key attribute and it will be applied to all CheckBoxes in your current application.
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