That didn't work -- myCell is always null.

This is the code I used:

class MyDrawFilter : IUIElementDrawFilter
{
    DrawPhase IUIElementDrawFilter.GetPhasesToFilter(ref UIElementDrawParams drawParams)
    {
        if (drawParams.Element is RowCellAreaUIElement)
            return Infragistics.Win.DrawPhase.BeforeDrawBorders;
        return DrawPhase.None;
    }

    bool IUIElementDrawFilter.DrawElement(DrawPhase drawPhase, ref UIElementDrawParams drawParams)
    {
        UltraGridCell myCell = drawParams.Element.GetContext(typeof(UltraGridCell)) as UltraGridCell;
        if (myCell != null)
            throw new ApplicationException("Found non-null cell!");
        return false;
    }
}

The problem is that your two methods are inconsistent. You are checking for RowCellAreaUIElement in GetPhasesToFilter. So the element in DrawElement will never be a cell. You need to check for CellUIElement.

I actually used this to solve a somewhat similar problem with an UltraGridDocumentExporter, so my solution might not apply to you.

I included the following in the BeginExport event handler of an UltraGridDocumentExporter, which might be analogous to the InitializeLayout event of an UltraGrid:

            e.Layout.Override.BorderStyleRow = Infragistics.Win.UIElementBorderStyle.None;
            e.Layout.Override.BorderStyleCell = Infragistics.Win.UIElementBorderStyle.None;
            e.Layout.Override.RowAppearance.BorderColor = System.Drawing.Color.Transparent;
            e.Layout.Override.CellAppearance.BorderColor = System.Drawing.Color.Transparent;

I can't say I exactly understand why this worked.

 I have had good results with setting BorderColor = System.Drawing.Color.Transparent.