Chk this link hope this wil solve your question :
In this Link they requested to hide the border insted of hide you can use your border size there
Remove the border from a selected cell in a row in datagrid[
^]
here i have made value=3 insted of 0.
hope this will solve your issue.
datagrid.cellstyle>
<style targettype="DataGridCell">
<style.triggers>
<trigger property="IsSelected" value="True">
<setter property="BorderThickness" value="3" />
</trigger>
</style.triggers>
</style>