No, this is only supported in rows.  You would have to code this yourself, the best place likely being in the InitializeLayout event of the grid, i.e.:

 private void ultraGrid1_InitializeLayout(object sender, Infragistics.Win.UltraWinGrid.InitializeLayoutEventArgs e)
{
    for (int i = 0; i < e.Layout.Bands[0].Columns.Count; i++)
    {
        if (i % 2 == 0)
            e.Layout.Bands[0].Columns[i].CellAppearance.BackColor = Color.Green;
        else
            e.Layout.Bands[0].Columns[i].CellAppearance.BackColor = Color.Blue;
    }
}

-Matt