Can I style this "Red" element?
I can set style on DataGridColumnHeader, DataGridRowHeader but I don't know how to set tyle on "red" element.
Do you mean the Top-Left corner of the DataGrid? It is a button type. You can apply a custom style to it.
<DataGrid.Resources>
<Style TargetType="Button" x:Key="{ComponentResourceKey ResourceId=DataGridSelectAllButtonStyle, TypeInTargetAssembly={x:Type DataGrid}}">
<Setter Property="Background" Value="Red" />
</Style>
</DataGrid.Resources>
Here is the result.