This behavior is by design. If you do not want it, you can try handling the ResizingCols event and cancel things when it is a doubleclick.
’ add the handler
AddHandler Me.GridControl1.ResizingCols, Addressof GridResizingCols
.....
Private Sub GridResizingCols(sender As Object, e As GridResizingColsEventArgs)
If e.Reason = GridResizeCellsReason.DoubleClick Then
e.Cancel = True
End If
End Sub ’GridResizingRows