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Hi,
You can Follow the implementation of such a feature in this page: https://feedback.telerik.com/blazor/1414347-multiple-column-header. I've added your Vote on your behalf to raise its priority.
If your grid is static you could implement some (rather complicated) designs in the column headers to get similar appearance though: https://docs.telerik.com/blazor-ui/components/grid/templates#header-template.
Regards, Marin Bratanov Progress Telerik