To reproduce:
GridViewCheckBoxColumn chkCol = new GridViewCheckBoxColumn();

chkCol.HeaderText = "I have wrap text set yet I cannot see full column header text.";
chkCol.Width = 90;
chkCol.WrapText = true;
chkCol.EnableHeaderCheckBox = true;
chkCol.EditMode = EditMode.OnValueChange;
radGridView1.Columns.Add(chkCol);

Workaround:
private void RadGridView1_ViewCellFormatting(object sender, CellFormattingEventArgs e)
{
    var cell = e.CellElement as GridCheckBoxHeaderCellElement;
    if (cell != null)
    {
        cell.CheckBox.TextWrap = true;
    }
}