After the grid has been initialized and populated, you can try code like:
Dim cr As GridDropDownGridListControlCellRenderer = gridControl1.CellRenderers("GridListControl")
cr.ListControlPart.ShowColumnHeader = False
If you get a null reference exception when you try this, it means the renders have not been created yet. If you trouble finding a spot to put the code, then you can always handle the CurrentCellShowingDropDown event and set things there.
Dim cc As GridCurrentCell = Me.gridControl1.CurrentCell
If Me.gridControl1(cc.RowIndex, cc.ColIndex).CellType = "GridListControl" Then
Dim cr As GridDropDownGridListControlCellRenderer = cc.Renderer
cr.ListControlPart.ShowColumnHeader = False
End If
