To reproduce: 
-add RadGridView and apply Windows7 theme
-click on some GridHeaderCellElement. As a result the arrow is cut off.

Workaround:

this.radGridView1.ViewCellFormatting+=radGridView1_ViewCellFormatting;

private void radGridView1_ViewCellFormatting(object sender,
    Telerik.WinControls.UI.CellFormattingEventArgs e)
{
    GridHeaderCellElement cell = e.CellElement as GridHeaderCellElement;
    if (cell != null)
    {
        cell.Arrow.Margin = new Padding(0, 3, 0, 0);
    }
}