You can turn off sorting by setting this property.
this.gridDataBoundGrid1.SortBehavior = GridSortBehavior.None;
If you want to sort but not see the icon, you can use the PrepareViewStyle event.
private void gridDataBoundGrid1_PrepareViewStyleInfo(object sender, GridPrepareViewStyleInfoEventArgs e)
{
if(e.Style.CellType == "ColumnHeaderCell")
e.Style.CellType = "Header";
}