You have added the Style as data item, but apparently wanted to add it to the Resources of the SelfBindingDataGrid:
<dg:SelfBindingDataGrid ...>
<dg:SelfBindingDataGrid.Resources>
<Style TargetType="DataGridRow">
...
</Style>
</dg:SelfBindingDataGrid.Resources>
...
</dg:SelfBindingDataGrid>
If you intended to set the Style of the SelfBindingDataGrid, it should look like this:
<dg:SelfBindingDataGrid ...>
<dg:SelfBindingDataGrid.Style>
<Style TargetType="dg:SelfBindingDataGrid">
...
</Style>
</dg:SelfBindingDataGrid.Style>
...
</dg:SelfBindingDataGrid>