In a GridGroupingControl, you can try using the TableControlCellClick event.
private void grid_TableControlCellClick(object sender, GridTableControlCellClickEventArgs e)
{
GridTableCellStyleInfo style = e.TableControl.GetTableViewStyleInfo(e.Inner.RowIndex, e.Inner.ColIndex);
if(style.TableCellIdentity.TableCellType == GridTableCellType.ColumnHeaderCell)
{
string colName = style.TableCellIdentity.Column.Name;
Console.WriteLine(colName);
}
}