Setting ReadOnly works in the 1.6 RC1 release which you can download from this link.
Read the release notes:
http://www.syncfusion.net/squiffler/patches/v1606/readme.htm
Download the installation (~59meg):
http://www.syncfusion.net/squiffler/patches/v1606/syncfusionessentialsuitesetup.exe
In 1.5.2.0, if you want to prevent this you can catch the ClearingCells event, and only clear the non-header cells.
Private Sub GridControl1_ClearingCells(ByVal sender As Object, ByVal e As Syncfusion.Windows.Forms.Grid.GridClearingCellsEventArgs) Handles GridControl1.ClearingCells
If e.RangeList.AnyRangeIntersects(GridRangeInfo.Col(0)) Then
Dim range, range1 As GridRangeInfo
For Each range In e.RangeList
range1 = range.ExpandRange(1, 1, GridControl1.RowCount, GridControl1.ColCount)
Me.GridControl1.ClearCells(range1, True)
Next
e.Handled = True
End If
End Sub