We've reviewed this bug report and it seems more of a limitation due to the way the elements in the column header (header text, sort indicator or universal indicator, filter indicator) are aligned.  

In short, when changing the text alignment of the header text, the current position of the sort indicator should be considered as well. Both elements are ordered in a defined way and modifying the position of any of them affects the other one.

To position the column header text to Center, you have to set the SortDescriptor position to Center as well:

<telerik:DataGridColumnHeaderStyle TextHorizontalOptions="Center"
                                                            SortIndicatorHorizontalOptions="Center" />

We've updated our documentation on column header styling to describe the approach, you can check it here:

DataGrid Columns Styling: Header Style

I've updated the status of this bug report to "Declined".

Regards,
Yana
Progress Telerik