To include the headers, you need to set a flag in the ClipboardCopy event handler.
' in formload
AddHandler Me.gridDataBoundGrid1.Model.ClipboardCopy, AddressOf HandleCopy
’......
Private Sub HandleCopy(sender As Object, e As GridCutPasteEventArgs)
e.ClipboardFlags = e.ClipboardFlags Or GridDragDropFlags.ColHeader
End Sub ’HandleCopy