It is the border on the form that holds the popup container that you need to set. This parent form is a little tough to get at, but you can do it in the CurrentCellShowingDropDown event.
private void grid_CurrentCellShowingDropDown(object sender, GridCurrentCellShowingDropDownEventArgs e)
{
DropDownGridCellRenderer cr = this.gridControl1.CurrentCell.Renderer as DropDownGridCellRenderer;
if(cr != null)
{
cr.PopupControlContainer.PopupHost.FormBorderStyle = FormBorderStyle.FixedDialog;
}
}