The following example demonstrates how to change the information displayed in each GroupHeaderControl by creating an implicit DataTemplate targeting the Group data type.

XAML
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<Grid xmlns:xcdg="http://schemas.xceed.com/wpf/xaml/datagrid">
  <Grid.Resources>
    <xcdg:DataGridCollectionViewSource x:Key="cvs_orders"
                                       Source="{Binding Source={x:Static Application.Current},
                                                        Path=Orders}">
      <xcdg:DataGridCollectionViewSource.GroupDescriptions>
        <xcdg:DataGridGroupDescription PropertyName="ShipCountry"/>
      </xcdg:DataGridCollectionViewSource.GroupDescriptions>
    </xcdg:DataGridCollectionViewSource>
    <DataTemplate DataType="{x:Type xcdg:Group}">
      <StackPanel Orientation="Horizontal">
        <TextBlock Text="The "/>
        <TextBlock Text="{Binding Value}"/>
        <TextBlock Text=" group contains "/>
        <TextBlock Text="{Binding Items.Count}"/>
        <TextBlock Text=" items."/>
      </StackPanel>
    </DataTemplate>
  </Grid.Resources>
  <xcdg:DataGridControl x:Name="OrdersGrid"
                        ItemsSource="{Binding Source={StaticResource cvs_orders}}"/>
</Grid>