Since the same GridListControl is used for any cell that has the GridListControl celltype, you have to do this on a cell by cell basis (in general). One way is to catch the CurrentCellShowingdropDown event and set it there if the cell being dropped is a GridListControl.
private void grid_CurrentCellShowingDropDown(object sender, GridCurrentCellShowingDropDownEventArgs e)
{
GridCurrentCell cc = this.gridControl1.CurrentCell;
GridDropDownGridListControlCellRenderer cr = cc.Renderer as GridDropDownGridListControlCellRenderer;
if(cr != null)
{
cr.ListControlPart.ShowColumnHeader = false;
}
}