You can try handling the CellDrawn event and draw something on the hidden border. Here is a try at drawing a red line.
private void grid_CellDrawn(object sender, GridDrawCellEventArgs e)
{
if(e.RowIndex == 0 && e.ColIndex > 0 && e.ColIndex < this.grid.Model.ColCount
&& this.grid.Model.Cols.Hidden[e.ColIndex + 1])
{
Point pt1 = new Point(e.Bounds.Right - 1, e.Bounds.Top);
Point pt2 = new Point(e.Bounds.Right - 1, e.Bounds.Bottom);
e.Graphics.DrawLine(Pens.Red, pt1, pt2);
}
}