I found the line below in my Skin.css file and when I changed the color to Yellow, that effected the Heading Colors.
TH,TD,DIV{ font-family:Verdana, Arial, Helvetica, sans-serif; font-size:11px; color:#9a9a9a; }
I have the CssClass for the HeaderStyle tag set to SubHead but that seems to make no difference. Probably a Bug in ASP.NET
I have seen this before and my solution was to define the colors for each column in the DataGrid, but that only works when the "Create Columns Automaically at Run Time" is unchecked which in this case it is not as the number of columns and the names cannot be known at Design Time for this kind of application.
The best bet would be to look if a color is defined for the TD element in your CSS.
Steve