As you can see from the picture, after setting the properties:

e.Layout.UseFixedHeaders = True
e.Layout.StationaryMargins = StationaryMargins.Header

To lock the first column of the grid and the headers, the columns are no longer aligned with the respective header.
Below attached the code I use in InitializeLayout:

    Protected Sub Dati_InitializeLayout(ByVal sender As Object, ByVal e As Infragistics.WebUI.UltraWebGrid.LayoutEventArgs) Handles Dati.InitializeLayout
        Dim DS_GRIGLIA As New DataSet
        Dim Colonna As Infragistics.WebUI.UltraWebGrid.UltraGridColumn
        Dim APPO_ROW As DataRow()
        Dim M As Integer
        Dim F As Integer = 1
        Dim colHead As ColumnHeader
        Dim i As Integer
        Dim ch As New ColumnHeader(True)
        Dim CONTA_COLONNE As Int16
        Try
            DS_GRIGLIA = Session("Dati")
            'IMPOSTAZIONI GENERALI DELLA GRIGLIA
            CONTA_COLONNE = DS_GRIGLIA.Tables("LIVELLO_COLONNE").Rows.Count
            e.Layout.Bands(0).AllowAdd = Infragistics.WebUI.UltraWebGrid.AllowAddNew.No
            e.Layout.Bands(0).AllowDelete = Infragistics.WebUI.UltraWebGrid.AllowDelete.No
            e.Layout.Bands(0).AllowUpdate = Infragistics.WebUI.UltraWebGrid.AllowUpdate.Yes
            e.Layout.Bands(0).CellClickAction = CellClickAction.Edit
            e.Layout.Bands(0).AllowSorting = AllowSorting.No
            e.Layout.Bands(0).AllowColumnMoving = AllowColumnMoving.None
            e.Layout.AddNewRowDefault.Visible = AddNewRowVisible.No
            e.Layout.UseFixedHeaders = True 'SERVE PER BLOCCARE LE COLONNE
            e.Layout.StationaryMargins = StationaryMargins.Header 'SERVE PER BLOCCARE GLI HEADER DELLA GRIGLIA
            '**********************************************************
            'FORMATTAZIONE COLONNE*************************************
            '**********************************************************
            'CICLO DI TUTTE LE COLONNE IN GRIGLIA
            For Each Colonna In e.Layout.Bands(0).Columns
                Select Case Colonna.Key
                    Case "FK_ID_LIV0", "FK_ID_LIV1", "FK_ID_LIV2", "FK_ID_LIV3"
                        Colonna.Hidden = True
                    Case "TOTALE_TC"
                        Colonna.Header.Caption = "TOTALE"
                        ''TOTALE = True
                        Colonna.AllowUpdate = AllowUpdate.No
                        Colonna.Header.Style.HorizontalAlign = HorizontalAlign.Center
                        Colonna.CellStyle.HorizontalAlign = HorizontalAlign.Right
                        Colonna.CellStyle.Wrap = False
                        Colonna.CellStyle.Padding.Right = 2
                        Colonna.CellStyle.Padding.Left = 2
                    Case "DESCRIZIONE_LIV3"
                        Colonna.Width = 300
                        Colonna.Header.Fixed = True
                        Colonna.AllowUpdate = AllowUpdate.No
                        Colonna.Header.Caption = "DESCRIZIONE"
                        Colonna.CellStyle.Wrap = True
                        Colonna.CellStyle.Padding.Right = 2
                        Colonna.CellStyle.Padding.Left = 2
                        Colonna.Header.Style.HorizontalAlign = HorizontalAlign.Center
                        Colonna.CellStyle.HorizontalAlign = HorizontalAlign.Left
                    Case Else
                        Select Case Mid(Colonna.Key, 1, 3)
                            Case "TC_"
                                Colonna.IsBound = True
                                Colonna.AllowUpdate = AllowUpdate.Yes
                                Colonna.Header.Style.HorizontalAlign = HorizontalAlign.Center
                                Colonna.CellStyle.HorizontalAlign = HorizontalAlign.Right
                                Colonna.CellStyle.Wrap = False
                                Colonna.CellStyle.Padding.Right = 2
                                Colonna.CellStyle.Padding.Left = 2
                                APPO_ROW = DS_GRIGLIA.Tables("LIVELLO_COLONNE").Select("TC = " & Mid(Colonna.Key, 4, 2))
                                Colonna.Header.Caption = APPO_ROW(0)("DESCRIZIONE").ToString
                                Colonna.CellStyle.HorizontalAlign = HorizontalAlign.Right
                        End Select
                End Select
            Next
            '**********************************************************
            'FORMATTAZIONE TITOLI**************************************
            '**********************************************************
            'GLI HEADERS DELLE COLONNE VENGONO SPOSTATI SOTTO
            For i = 0 To e.Layout.Bands(0).HeaderLayout.Count - 1
                colHead = e.Layout.Bands(0).HeaderLayout(i)
                colHead.RowLayoutColumnInfo.OriginY = 1
            Next
            'NEW TITOLO DESCRIZIONE VUOTO
            ch.Caption = ""
            ch.RowLayoutColumnInfo.OriginX = 0
            ch.RowLayoutColumnInfo.OriginY = 0
            e.Layout.Bands(0).HeaderLayout.Add(ch)
            'CREAZIONE DEI TITOLI SULLE COLONNE
            For M = 0 To DS_GRIGLIA.Tables("LIVELLO_TITOLI").Rows.Count - 1
                ch = New ColumnHeader(True)
                ch.Style.Wrap = False
                'CAPTION DELLA COLONNA
                ch.Caption = DS_GRIGLIA.Tables("LIVELLO_TITOLI").Rows(M)("DESCRIZIONE").ToString
                ch.Style.HorizontalAlign = HorizontalAlign.Center
                'ORIGINE X DELLA COLONNA
                ch.RowLayoutColumnInfo.OriginX = F
                'ORIGINE Y DELLA COLONNA
                ch.RowLayoutColumnInfo.OriginY = 0
                If M = DS_GRIGLIA.Tables("LIVELLO_TITOLI").Rows.Count - 1 And Session("TIPO_SOMMA") = "C" Then
                    'SPAN SULLA X DELLE COLONNE
                    ch.RowLayoutColumnInfo.SpanX = DS_GRIGLIA.Tables("LIVELLO_TITOLI").Rows(M)("NUM_COLONNE") + 1
                Else
                    'SPAN SULLA X DELLE COLONNE
                    ch.RowLayoutColumnInfo.SpanX = DS_GRIGLIA.Tables("LIVELLO_TITOLI").Rows(M)("NUM_COLONNE")
                End If
                'ADD TITOLO
                'ch.Fixed = False
                e.Layout.Bands(0).HeaderLayout.Add(ch)
                'INCREMENTO
                F = F + DS_GRIGLIA.Tables("LIVELLO_TITOLI").Rows(M)("NUM_COLONNE")
            Next
        Catch ex As Exception

        Finally

        End Try
    End Sub