Hi Marquant ,
Thank you for using Syncfusion Products .
We analyzed your query. You can customize the border of current cell by adjusting its thickness and there is no need to customize style of GridCell .The CurrentCellBorderThickness property of SfDataGrid allows you to adjust thickness of current cell border based on your requirement. We have prepared a sample to achieve your requirement. Please find the sample from the following location:
Please find the following code snippet :
Please let us know if this solution helps you.