If you want to change the background color of a particular DataGrid you can do this
<RadzenDataGrid style="--rz-grid-header-background-color: red;" ...>
Also if you want to change the frozen column background as well:
<RadzenDataGrid style="--rz-grid-header-background-color: red;--rz-grid-frozen-cell-background-color: red;" ...>
And to change the header backround color of all DataGrid components:
body {
--rz-grid-header-background-color: red;
--rz-grid-frozen-cell-background-color: red;
}