I think you will have to do this yourself.
One complicating issue is that as the borders slant, they no longer ''live in a single cell''. So, any drawing to do this has tro draw over several cells. This makes it difficult to use teh cell oriented drawing events like DrawCell, DrawCellborder or CellDrawn.
But you can try to do something in grid.paint. Here is a minimal try at it.
SlantedHeaders_1620.zip