Try handling the gridListControl.Grid.PrepareViewStyleInfo event and reset the borders at that point.
//subscribe
this.gridListControl1.Grid.PrepareViewStyleInfo += new GridPrepareViewStyleInfoEventHandler(Grid_PrepareViewStyleInfo);
private void Grid_PrepareViewStyleInfo(object sender, GridPrepareViewStyleInfoEventArgs e)
{
if(e.RowIndex > 0 && e.RowIndex == this.gridListControl1.Grid.CurrentCell.RowIndex)
{
e.Style.Borders.Bottom = this.gridListControl1.Grid.TableStyle.Borders.Bottom;
e.Style.Borders.Top = this.gridListControl1.Grid.TableStyle.Borders.Top;
e.Style.BorderMargins.Bottom = this.gridListControl1.Grid.TableStyle.BorderMargins.Bottom;
e.Style.BorderMargins.Top = this.gridListControl1.Grid.TableStyle.BorderMargins.Top + 1;
}
}