Hi Leon,
Of course you can create a custom DataGridView control, just like any other control in the Visual WebGui control suite.
In Visual WebGui there are two types (or levels) of customization you can make for a control. First there is customization for the server-side code, and for that type the DataGridView is just a normal .NET class so you can create your own class and inherit from the DataGridView. This would still be a custom control, in a way, but with server-side customizations only.
For client side customization (changes to XSLT, CSS, JavaScript ...) you need a bit more. Take a look at the Custom Controls article here to find out more information, as well as some samples on control customizations.
If that does not answer your questions, please explain what kind of customizations you are seeking.
Palli