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.
If that does not answer your questions, please explain what kind of customizations you are seeking.