Thank you, all questions was answered.

Little correction : Style styleR = new Style(typeof(CellControl)); and there is no crash, but how can the ALT rows be set ? No CellControl.AltBackgroundProperty exists like it is in the ConditionalFormattingCellControl.AltBackgroundProperty case ?

...In your particular case you can use a style for the CellControl and set it to the XamGrid’s CellStyle property.

So this snippet of code is what you have suggested and what we need :

        void grid_InitializeRow(object sender, InitializeRowEventArgs e)
        {
            Color backcolorR = new Color();
            backcolorR.A = 255;
            backcolorR.R = 255;
            backcolorR.G = 0;
            backcolorR.B = 0;

            SolidColorBrush sbBackGroundR = new SolidColorBrush(backcolorR);

            Style styleR = new Style();
            Setter setterR = new Setter();
            setterR.Property = CellControl.BackgroundProperty;
            setterR.Value = sbBackGroundR;
            styleR.Setters.Add(setterR);

            try
            {
                e.Row.Cells[0].Style = styleR;
            }
            catch (Exception ex)
            {
                show...ex.Message;
            }
        }

the silverlight application crashes (outside of grid_InitializeRow function) with the error

Microsoft JScript runtime error: Unhandled Error in Silverlight Application
Code: 4004   
Category: ManagedRuntimeError      
Message: System.InvalidOperationException: System.InvalidOperationException: System.InvalidOperationException: Must have non-null value for TargetType.
...