I have solved it. It is because of the compatibility view issue.

Go to IE Compatibility View Settings > uncheck Display all websites in Compability view and Display intranet sites in Compatibility View.

Thanks David,

I' m using Infragistics Default style sheet. And the GroupFieldHeaderCaption already align center as below:

.igg_GroupFieldHeaderCaption
{
    text-align: center;
    text-shadow: 1px 1px #fff;
    font-size: 10px;
}

But it still align left.

It is exactly same with the example in Infragistics: Multi-Column headers with Column Fixing

When view with IE, the multi-column header align left. I think when merge 2 column together, the header will squeeze at fist column.