AdvancedDataGrid is an mx component and thus it's older than the Spark DataGrid. As such the Spark DataGrid simply brings new features (when compared to the old mx DataGrid).
If you want this feature in ADG you have two approaches:
- Head over to the Apache Flex JIRA and register an 'improvement' issue. Maybe you'll get lucky and someone will pick this up. But I wouldn't count on it: ADG was outsourced by Adobe (a long while ago) and compared to other components it is a crappy piece of code; you will not easily find someone who's willing to dive in that legacy cesspool.
- Take matters into your own hands. Clone the Apache Flex repo; add the desired functionality; submit your patch to the Apache Flex community. If you have your solution ready, they'll be pretty quick to respond.