Hi Christian, 

So this question has been kinda rolling around in the back of mind, and I think the best thing for you to do would be to do it backwards. That is... set BorderStyleCell to Rounded4Thick and then turn OFF the borders on the cells you DON'T want using the DrawFilter. 

I think you have to do it that way, because of BorderStyleCell on the Override is NOT set to Rounded4Thick, the grid won't know to leave space for that extra-thick border and it won't know not to overlap the cells. 

So then all your DrawFilter has to do is handle the BeforeDrawBorders phase for cells and return true to prevent that cell from showing a border, or else return false to just let it draw the border. So the DrawFilter would look something like this. This DrawFilter looks for cells in the "Int32 1" or "Int32 2" column whose value is greater than 2 and returns false to let those cells go ahead and draw the rounded border. And it returns true for any other cell(s), so they draw no borders. 

    internal class RoundedBordersDrawFilter : IUIElementDrawFilter
    {
        public bool DrawElement(DrawPhase drawPhase, ref UIElementDrawParams drawParams)
        {
            var cell = drawParams.Element.GetContext(typeof(UltraGridCell)) as UltraGridCell;
            if (null != cell)
            {
                switch (cell.Column.Key)
                {
                    case "Int32 1":
                    case "Int32 2":
                        var cellValue = (int)cell.Value;
                        if (cellValue > 2)
                            return false;

                        break;
                }
            }

            return true;
        }

        public DrawPhase GetPhasesToFilter(ref UIElementDrawParams drawParams)
        {
            if (drawParams.Element is CellUIElementBase)
                return DrawPhase.BeforeDrawBorders;

            return DrawPhase.None;
        }
    }