Elfmanne said:

Can I change the behavior of the selected column to just set a border around the column?

Yes. Assuming you have a fairly recent version of the grid, you can so this:

        private void ultraGrid1_InitializeLayout(object sender, Infragistics.Win.UltraWinGrid.InitializeLayoutEventArgs e)
        {
            UltraGridLayout layout = e.Layout;

            layout.SelectionOverlayColor = Color.Transparent;
        }

If you choose a solid color, instead of Transparent, then the selection will display as a semi-transparent overlay - so you will still be able to see the appearance of the cells underneath it.

You may also want to set SelectionOverlayBorderThickness and SelectionOverlayBorderColor.