Well, the only other option would be to try to implement the exporting of the group headers yourself. If you are using groups with just a single level of column headers, this would not be terribly complicated. You would handle the HeaderExporting event of the UltraGridExcelExport and insert a row before the header and write out the group cells yourself. You would also have to deal with all of the header appearances and such. It's not trivial, but it could be done.

If you are using groups and levels, then it adds a huge layer of complication becuase you would have to adjust the column widths and merge columns such that all of the columns show up aligned properly. Personally, I would not want to attempt to write that code.