Why does my ColumnHeadersDefaultCellStyle keep being reset in Visual Studio designer?

It is a bug, although Microsoft would probably try to call it a feature. The DataGridView header cells are supposed to inherit the current theme only if EnableHeadersVisualStyles is set to TRUE, and use the settings in ColumnHeaderDefaultCellStyles if it is false. But the DGV ignores EnableHeadersVisualStyles and always inherits the font of the parent container it resides in.

Both rutlean's and Nico Engler suggestions will work. Here is what I always do as a standard practice: Put your DGV in a panel (depending on your application, you might want to set the Dock property to fill. Then set the Panel's font to your desired settings. Your DGV will now always inherit that setting.

Have you tried check EnableHeadersVisualStyles value?

According to MSDN:

If visual styles are enabled and EnableHeadersVisualStyles is set to true, all header cells except the TopLeftHeaderCell are painted using the current theme and the ColumnHeadersDefaultCellStyle values are ignored.

I found a workaround where just editing the XXXX.Designer.cs with following code does the trick.

this.receiptDetailView.ColumnHeadersDefaultCellStyle = dataGridViewCellStyle1;
this.receiptDetailView.ColumnHeadersDefaultCellStyle.Font = new System.Drawing.Font("Calibri", 9.75F, System.Drawing.FontStyle.Bold);