I found a solution by using a drawfilter. I can just set the color of the border to the grid backcolor.

        bool IUIElementDrawFilter.DrawElement(Infragistics.Win.DrawPhase drawPhase, ref Infragistics.Win.UIElementDrawParams drawParams)
        {           
            foreach (UltraGridRow row in this.grid.Rows)
            {
                UIElement FirstCellUIElement = row.Cells[0].GetUIElement();               
                if (FirstCellUIElement != null)
                {                   
                    Rectangle FirstCell = FirstCellUIElement.Rect;
                    FirstCell.Inflate(0, 1);
                    drawParams.DrawBorders(
                        UIElementBorderStyle.Solid,
                        System.Windows.Forms.Border3DSide.All,
                        Color.White,
                        Color.White,
                        FirstCell,
                        drawParams.InvalidRect);
                }
            }
            return false;
        }