Another possible approach is to edit the default GridViewHeaderCell template directly. This would be the better option because you will still have a functioning default behavior like change of color of the GridViewHeaderCell on MouseHover. You can check our Editing Control Templates and Styling the Column Headers documentation articles.
As a side note I should point out that setting DataLoadMode="Asyncronous" is generally not recommended as it could lead to some problems. This is an old mode and it is not relevant with our latest version. Please remove it.
Please give the suggested approaches a try and let us know how it goes.
Check out Telerik Analytics, the service which allows developers to discover app usage patterns, analyze user data, log exceptions, solve problems and profile application performance at run time. Watch the videos and start improving your app based on facts, not hunches.