I have prepared a sample project showing how to achieve the wanted behavior. Basically, the project implements the approach from the Rounded Corner Datagrid in WPF blog post, which is to place the already created border into an additional Border element. In addition, as mentioned in the provided article, both of the border elements should have identical values for the CornerRadius property, otherwise, the grid view will be visualized with wrong corners.
With that said, I hope the proposed approach works in your current project scenario. Also, I have attached the mentioned project for you to test.
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