Вы всегда можете установить BorderStyle на NoBorder и обернуть GridControl внутри PanelControl.
Настройте свойства примерно так:
gridControl1.MainView.BorderStyle = DevExpress.XtraEditors.Controls.BorderStyles.NoBorder;
panelControl1.LookAndFeel.UseDefaultLookAndFeel = false;
panelControl1.LookAndFeel.Style = DevExpress.LookAndFeel.LookAndFeelStyle.Flat;
panelControl1.Appearance.BorderColor = Color.Red;
panelControl1.Appearance.Options.UseBorderColor = true;
panelControl1.BorderStyle = DevExpress.XtraEditors.Controls.BorderStyles.Simple;