May I ask you to elaborate more on which exact part you want to modify? Basically, the column border is represented by a border inside the GridViewCell. So you could modify this by extracting and modifying the default template of the GridViewCell. In the extracted template, you can change the Border element with x:Name="PART_CellBorder ."
However, to be more specific, it will be better to send me an image of the elements you want to style.
Virtual Classroom, the free self-paced technical training that gets you up to speed with Telerik and Kendo UI products, quickly just got a fresh new look + new and improved content, including a brand new Blazor course! Check it out at https://learn.telerik.com/.