答案其实很简单。
您将字体样式设置为 Form1 [Arial; 8,25pt]。让我们看看设计师:
private void InitializeComponent()
    {
        System.Windows.Forms.DataGridViewCellStyle dataGridViewCellStyle1 = new System.Windows.Forms.DataGridViewCellStyle();
        this.dataGridView1 = new System.Windows.Forms.DataGridView();
        this.Column1 = new System.Windows.Forms.DataGridViewTextBoxColumn();
        this.Column2 = new System.Windows.Forms.DataGridViewTextBoxColumn();
        this.Column3 = new System.Windows.Forms.DataGridViewTextBoxColumn();
        ((System.ComponentModel.ISupportInitialize)(this.dataGridView1)).BeginInit();
        this.SuspendLayout();
        // 
        // dataGridView1
        // 
        dataGridViewCellStyle1.Alignment = System.Windows.Forms.DataGridViewContentAlignment.MiddleLeft;
        dataGridViewCellStyle1.BackColor = System.Drawing.SystemColors.Control;
        dataGridViewCellStyle1.Font = new System.Drawing.Font("Calibri", 9.75F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point, ((byte)(238)));
        dataGridViewCellStyle1.ForeColor = System.Drawing.SystemColors.WindowText;
        dataGridViewCellStyle1.SelectionBackColor = System.Drawing.SystemColors.Highlight;
        dataGridViewCellStyle1.SelectionForeColor = System.Drawing.SystemColors.HighlightText;
        dataGridViewCellStyle1.WrapMode = System.Windows.Forms.DataGridViewTriState.True;
        this.dataGridView1.ColumnHeadersDefaultCellStyle = dataGridViewCellStyle1;
        this.dataGridView1.ColumnHeadersHeightSizeMode = System.Windows.Forms.DataGridViewColumnHeadersHeightSizeMode.AutoSize;
        this.dataGridView1.Columns.AddRange(new System.Windows.Forms.DataGridViewColumn[] {
        this.Column1,
        this.Column2,
        this.Column3});
        this.dataGridView1.EnableHeadersVisualStyles = false;
        this.dataGridView1.Location = new System.Drawing.Point(49, 62);
        this.dataGridView1.Name = "dataGridView1";
        this.dataGridView1.Size = new System.Drawing.Size(443, 309);
        this.dataGridView1.TabIndex = 0;
        // 
        // Column1
        // 
        this.Column1.HeaderText = "Column1";
        this.Column1.Name = "Column1";
        // 
        // Column2
        // 
        this.Column2.HeaderText = "Column2";
        this.Column2.Name = "Column2";
        // 
        // Column3
        // 
        this.Column3.HeaderText = "Column3";
        this.Column3.Name = "Column3";
        // 
        // Form1
        // 
        this.AutoScaleDimensions = new System.Drawing.SizeF(6F, 14F);
        this.AutoScaleMode = System.Windows.Forms.AutoScaleMode.Font;
        this.ClientSize = new System.Drawing.Size(546, 457);
        this.Controls.Add(this.dataGridView1);
        this.Font = new System.Drawing.Font("Arial", 8.25F, System.Drawing.FontStyle.Regular, System.Drawing.GraphicsUnit.Point, ((byte)(238)));
        this.Name = "Form1";
        this.Text = "Form1";
        this.Load += new System.EventHandler(this.Form1_Load);
        ((System.ComponentModel.ISupportInitialize)(this.dataGridView1)).EndInit();
        this.ResumeLayout(false);
    }
现在您可以看到,您的 Datagridview 标头的字体设置已保存。但是,之后出现了表单的字体设置,最终覆盖了 Datagridview 字体设置。
我的建议是将表单字体设置恢复为默认值。