A workaround is to take the header border color and set it to all rows 

- Default skin
           .RadGrid_Default .rgRow > td,
            .RadGrid_Default .rgAltRow > td {
                border-left-color: rgb(130, 130, 130);
            }


- BlackMetroTouch skin

            .RadGrid_BlackMetroTouch .rgRow > td,
            .RadGrid_BlackMetroTouch .rgAltRow > td {
                border-left-color: rgb(51, 51, 51);
            }

            .RadGrid_BlackMetroTouch .rgRow > td,
            .RadGrid_BlackMetroTouch .rgAltRow > td {
                border-bottom-width: 0px; /*remove extra space between rows that becomes visible when you put on borders for alt rows*/
            }


- WebBlue skin

            .RadGrid_WebBlue .rgRow > td,
            .RadGrid_WebBlue .rgAltRow > td
            {
                border-left-color: rgb(69, 95, 119);
            }