Hi Zlatko ,
This is an expected behavior.
When re-templating the header - as in your case - you take the responsibility of the visual appearance of the header in your hands. Once the template of the header is changed RadGridView can not know what is inside thus any default logic including the theming mechanism will not work.
I may suggest to copy the default style of the column header as mentioned in this article http://docs.telerik.com/devtools/wpf/controls/radgridview/styles-and-templates/styling-column-headers
Then you can apply your specific changes to this style .
Hope that helps,
Regards,
Pavel Pavlov