When the 1.6 version is released, setting the readonly will prevent you header text from being deleted.
Me.gridControl1(0, 2).Text = "asd"
Me.gridControl1(0, 2).ReadOnly = True
If you need to handle this problem before you get teh 1.6 release, you can catch teh ClearingCells event, and cancel it by setting e.Handled = true if the e.rangeList contains your header cell.
Private Sub gridControl1_ClearingCells(ByVal sender As Object, ByVal e As GridClearingCellsEventArgs) Handles gridControl1.ClearingCells
If e.RangeList.AnyRangeIntersects(GridRangeInfo.Row(0)) Then
e.Handled = True
End If
End Sub