Hi Jeevakanth,
I've been working on this issue for awhile trying to figure out what was wrong with my code. Thanks to your answer and the links I was able to finally narrow it down to the root of the problem:
Using the same sample link included on your answer, all it takes to display all the grid columns header in bold is to replace the following line in the _Host.cshtml page and it will not be possible to set the headers to normal (using the .e-grid .e-headercell, .e-grid .e-columnheader, etc...)
NORMAL
<link rel='nofollow' href="_content/Syncfusion.Blazor/styles/fabrics.css" rel="stylesheet" />
BOLD
<link rel='nofollow' href="_content/Syncfusion.Blazor/styles/bootstrap4.css" rel="stylesheet" />
I don't know if this behavior is by design or can be fixed