If you set the value of columnheader context menu to null, ie. ColumnHeaderContextMenu="{x:Null}"
it's not gonna work ...
But you can hack it like this
<GridView.ColumnHeaderContextMenu>
<ContextMenu>
<ContextMenu.Template>
<ControlTemplate>
<Border BorderBrush="Transparent"
Background="Transparent" />
</ControlTemplate>
</ContextMenu.Template>
</ContextMenu>
</GridView.ColumnHeaderContextMenu>