How can I use different colors for column headings in the grid?

Font colors in the headers are not supported.

You will not be able to do that in headers. Instead you can use richtextdisplay in the beginning of your interface to show colored font.

HI, Build a common interface with rich text display field and configure rule inputs like , header,color,size and then call this rule anywhere you want. Its an alternative way to achieve your requirement.