Currently there isn't a built-in way to set rounded corners to the SegmentedControl, you can vote and follow the public feature request regarding this functionality at the link below:
SegmentedControl: Expose CornerRadius property
In the meantime, you can achieve similar look by combining the SegmentedControl with RadBorder, please check the following kb article for more details on the approach:
SegmentedControl with rounded corners
I hope the suggested approach would be useful.