In column groups view mode, the height of the column headers row is synchronized with the height of all other rows. The TableHeaderHeight property is ignored because it is not appropriate in this case. You can use one of following options to change the header rows: 
1. Set the RowSpan property of ColumnGroup header row which change the height of column group row
2. Set the RowSpan of grid`s column which will change the height of header and data cells 
3. Set the grid`s AutoSizeRows property to true and the TextWrap property of column to true which will wrap text in header and data cells  
4. Set the grid`s AutoSizeRows property to true and the MinHeight of rows property which will change the heigh of rows 

In the attachments you can find a sample demo which demonstrates the cases.

Note: The case 3 and 4 will be available in Q3 2015 version of Telerik UI for WinForms.