The question was asked 8 years ago, but I have an answer for it now in 2022.
Here's the deal. I upgraded my Windows Forms app (which uses a DataGridView) to use .NET 4.8.
I didn't change anything else in the app, but suddenly when I click an item in the DataGridView it automatically highlights the COLUMN HEADER in dark blue.
Previous versions of .NET did not do this to DataGridView.
I had to find a way around this annoying behavior.
I discovered that all I had to do when I initialize the DataGridView is:
(just set the SelectionBackColor to be the current BackColor of the datagridview)
YourDataGridView.ColumnHeadersDefaultCellStyle.SelectionBackColor = YourDataGridView.ColumnHeadersDefaultCellStyle.BackColor;
Fixed!