Sorry for digging up a thread 3 months old, but I just encountered this same issue.
I found that drawing a bottom border on the control you are adding greatly improves the appearance and makes it look like it should. (You will just have to remember to take the code out when the referenced issue gets fixed.)
For the default theme: (other themes may need a different color in there)
Panel p = new Panel();
p.BorderColor = Color.FromArgb(213, 213, 213);
p.BorderStyle = BorderStyle.FixedSingle;
p.BorderWidth = new BorderWidth(0, 0, 0, 1);
item.SubItems.Add(p);