I want to make vertical lines disappear on column headers. Is there any function on Column Header Style that will allow me to do that or any other methods?

You should call

   ColHeaderStyle().SetControl(GX_IDS_CTRL_STATIC);

If you are using the new grid line mode no extra code is necessary.

Otherwise call also

   ColHeaderStyle().SetBorders(gxBorderAll, CGXPen().SetStyle(PS_NULL));