A less than glamorous way to apply CSS changes that are either not exposed, or not supported (i.e. CSS3) are to do it yourself at load time.
For example, in the constructor (if you're extending) or directly after the instantiation of your DataGrid, walk its DOM and get that <th> element you're looking for and apply that CSS style explicitly (element.setAttribute("border-collapse","collapse")).
It is not pretty, but I've had to do this a few times. Ideally there is a better way, but if not, do what you must.
Sincerely,
Joseph