Disabling ECB menu in SPgridview is bit tricky and using jquery would be ideal to do that.
<script type="text/javascript">
$(document).ready(function() {
$('.ms-unselectedtitle').removeAttr("onclick");
$('.ms-unselectedtitle').removeAttr("onmouseover");
$('.ms-menuimagecell').remove();
});
</script>
simply it will remove the onclick and onmousover attribute as well as remove the arrow image from spgridview header..