Modify TopLeftHeaderTemplate to change that.
<ControlTemplate x:Key="TopLeftHeaderTemplate" TargetType="localprimitives:DataGridColumnHeader">
<Grid Name="Root">
<Grid.RowDefinitions>
<RowDefinition/>
<RowDefinition/>
<RowDefinition Height="Auto" />
</Grid.RowDefinitions>
<Border BorderThickness="0,0,1,0" BorderBrush="#FFC9CACA" Background="#FF1F3B53" Grid.RowSpan="2">
<Rectangle Stretch="Fill" StrokeThickness="1">
<Rectangle.Fill>
<LinearGradientBrush StartPoint=".7,0" EndPoint=".7,1">
<GradientStop Color="Yellow" Offset="0.015" />
<GradientStop Color="Yellow" Offset="0.375" />
<GradientStop Color="Yellow" Offset="0.6" />
<GradientStop Color="Yellow" Offset="1" />
</LinearGradientBrush>
</Rectangle.Fill>
</Rectangle>
</Border>
<Rectangle VerticalAlignment="Bottom" Width="Auto" StrokeThickness="1" Height="1" Fill="#FFDBDCDC" Grid.RowSpan="2"/>
</Grid>
</ControlTemplate>