No, there is not event that notifies of a single click (there is, however, a DoubleClickHeader event). Note that you could handle the control's MouseClick event and hit test for a column header.

Example:
void ultraGrid_MouseClick(object sender, MouseEventArgs e)
{
    UltraGrid grid = sender as UltraGrid;
    UIElement controlElement = grid.DisplayLayout.UIElement;
    UIElement elementAtPoint = controlElement != null ? controlElement.ElementFromPoint(e.Location) : null;
    UltraGridColumn column = null;
    while ( elementAtPoint != null )
    {
        HeaderUIElement headerElement = elementAtPoint as HeaderUIElement;
        if ( headerElement != null &&
             headerElement.Header is Infragistics.Win.UltraWinGrid.ColumnHeader )
        {
            column = headerElement.GetContext( typeof(UltraGridColumn) ) as UltraGridColumn;
            break;
        }

        elementAtPoint = elementAtPoint.Parent;
    }
}