This solution is strange. But it's working on my end.  I'm using the first
release of VB.net, so I don't know if they have "corrected" this strangeness,
that, in this case, happens to work in your favor.

Set the datagrid's header font to a larger value, say 24.

Strangely, the header height gets large enough to accomodate that font size,
but the font size stays the same.

Then concatenate controlchars.crlf into the header text where you want the
breaks.