Here's my solution

        static void _excelExporter_HeaderRowExporting(object sender, HeaderRowExportingEventArgs e)
        {
            if (e.Band.Groups.Count > 0)
            {
                var colIndex = e.CurrentColumnIndex;
                foreach (var gridGroup in e.Band.Groups)
                {
                    var worksheetRow = e.CurrentWorksheet.Rows[e.CurrentRowIndex];
                    var visibleColumnCount = (from UltraGridColumn col in gridGroup.Columns.All
                                              where col.IsVisibleInLayout
                                              select col).Count();
                    var mergedRegion = worksheetRow.Worksheet.MergedCellsRegions.Add(e.CurrentRowIndex,
                                                                                      colIndex,
                                                                                      e.CurrentRowIndex,
                                                                                      colIndex + visibleColumnCount -1);
                    e.CurrentWorksheet.Rows[e.CurrentRowIndex].OutlineLevel =
                        e.CurrentWorksheet.Rows[e.CurrentRowIndex - 1].OutlineLevel;
                    e.CurrentWorksheet.Rows[e.CurrentRowIndex].Hidden = e.CurrentWorksheet.Rows[e.CurrentRowIndex - 1].Hidden;
                    mergedRegion.Value = gridGroup.Header.Caption;
                    var appData = new AppearanceData();
                    gridGroup.Header.ResolveAppearance(ref appData);
                    mergedRegion.CellFormat.FillPattern = FillPatternStyle.Solid;
                    mergedRegion.CellFormat.Font.Name = appData.FontData.Name;
                    mergedRegion.CellFormat.Font.Bold = appData.FontData.Bold.ToExcelDefaultableBoolean();
                    mergedRegion.CellFormat.Font.Italic = appData.FontData.Italic.ToExcelDefaultableBoolean();
                    mergedRegion.CellFormat.Font.Height = (int)appData.FontData.SizeInPoints * 20;
                    mergedRegion.CellFormat.Font.Color = appData.ForeColor;
                    mergedRegion.CellFormat.FillPatternBackgroundColor = appData.BackColor;
                    mergedRegion.CellFormat.FillPatternForegroundColor = appData.BackColor;
                    // Alignment
                    switch (appData.TextHAlign)
                    {
                        case HAlign.Center:
                            mergedRegion.CellFormat.Alignment = HorizontalCellAlignment.Center;
                            break;
                        case HAlign.Left:
                            mergedRegion.CellFormat.Alignment = HorizontalCellAlignment.Left;
                            break;
                        case HAlign.Right:
                            mergedRegion.CellFormat.Alignment = HorizontalCellAlignment.Right;
                            break;
                        case HAlign.Default:
                            mergedRegion.CellFormat.Alignment = HorizontalCellAlignment.Default;
                            break;
                        default:
                            mergedRegion.CellFormat.Alignment = HorizontalCellAlignment.General;
                            break;
                    }
                    colIndex += visibleColumnCount;
                }
                e.CurrentRowIndex++;
            }
        }