Work around: create a custom GridCheckBoxHeaderCellElement and override the SetCheckBoxState method

public class MyGridCheckBoxHeaderCellElement : GridCheckBoxHeaderCellElement
{
    public MyGridCheckBoxHeaderCellElement(GridViewColumn column, GridRowElement row)
        : base(column, row)
    {
    }

    protected override Type ThemeEffectiveType
    {
        get { return typeof(GridHeaderCellElement); }
    }

    protected override bool SetCheckBoxState()
    {
        bool foundNonCheckedRows = false;
        foreach (GridViewRowInfo row in this.ViewInfo.Rows)
        {
            foundNonCheckedRows = this.CheckCheckBoxValueForAllRows(row, foundNonCheckedRows);
            if (foundNonCheckedRows)
            {
                SetCheckBoxState(ToggleState.Off);
                break;
            }
        }

        if (!foundNonCheckedRows && this.ViewInfo.Rows.Count > 0) //we must have at least one row in order to check the header cell
        {
            SetCheckBoxState(ToggleState.On);
        }

        return foundNonCheckedRows;
    }

    private bool CheckCheckBoxValueForAllRows(GridViewRowInfo row, bool foundNonCheckedRows)
    {
        GridViewChildRowCollection currentRowColection;
        if (foundNonCheckedRows)
        {
            return foundNonCheckedRows;
        }


        if (row.HasChildRows())
        {
            currentRowColection = row.ChildRows;
        }
        else
        {
            currentRowColection = row.ViewInfo.Rows;
        }

        foreach (GridViewRowInfo rowInfo in currentRowColection)
        {
            GridViewGroupRowInfo groupInfo = rowInfo as GridViewGroupRowInfo;
            if (groupInfo != null)
            {
                foundNonCheckedRows = this.CheckCheckBoxValueForAllRows(groupInfo, foundNonCheckedRows);
            }
            else
            {
                object cellValue = rowInfo.Cells[this.ColumnIndex].Value;
                bool? valueFromColumnTypeConvertor = null;
                if (this.ColumnInfo is GridViewDataColumn)
                {
                    TypeConverter convertor = ((GridViewDataColumn)this.ColumnInfo).DataTypeConverter;
                    if (convertor != null && (convertor.CanConvertTo(typeof(bool)) || convertor.CanConvertTo(typeof(ToggleState))))
                    {
                        try
                        {
                            valueFromColumnTypeConvertor = Convert.ToBoolean(convertor.ConvertTo(cellValue, typeof(bool)));
                        }
                        catch (FormatException)//convert to bool fails
                        {
                        }
                        catch (NotSupportedException)//coverting NULL
                        {
                        }
                    }
                }

                try
                {
                    if (rowInfo != this.RowInfo &&
                        (cellValue == null || cellValue == DBNull.Value) ||
                        (valueFromColumnTypeConvertor.HasValue && !valueFromColumnTypeConvertor.Value) ||
                        (!valueFromColumnTypeConvertor.HasValue && !Convert.ToBoolean(cellValue)))
                    {
                        foundNonCheckedRows = true;
                    }
                }
                catch (FormatException)//convert to bool fails
                {
                }
            }
        }

        return foundNonCheckedRows;
    }
}