Try setting it dynamically in PrepareViewStyleInfo.
private void gridDataBoundGrid1_PrepareViewStyleInfo(object sender, GridPrepareViewStyleInfoEventArgs e)
{
GridCurrentCell cc = this.gridDataBoundGrid1.CurrentCell;
if(e.RowIndex == cc.RowIndex && e.ColIndex == cc.ColIndex)
{
e.Style.Font.Underline = true;
}
}