Как добавить обратно стрелку сортировки после применения фона заголовков столбцов

Я думаю, вам придется повторно шаблонизировать DataGridColumnHeader и добавить его оттуда. Вот пример. Вам нужно будет добавить ссылку на PresentationFramework.Aero

xmlns:Themes="clr-namespace:Microsoft.Windows.Themes;assembly=PresentationFramework.Aero"

<DataGrid ...>
    <DataGrid.Resources>
        <Style x:Key="ColumnHeaderGripperStyle" TargetType="{x:Type Thumb}">
            <Setter Property="Width" Value="8"/>
            <Setter Property="Background" Value="Transparent"/>
            <Setter Property="Cursor" Value="SizeWE"/>
            <Setter Property="Template">
                <Setter.Value>
                    <ControlTemplate TargetType="{x:Type Thumb}">
                        <Border Background="{TemplateBinding Background}" Padding="{TemplateBinding Padding}"/>
                    </ControlTemplate>
                </Setter.Value>
            </Setter>
        </Style>
        <Style TargetType="{x:Type DataGridColumnHeader}">
            <Setter Property="Background" Value="Blue"/>
            <Setter Property="BorderBrush" Value="Red"/>
            <Setter Property="BorderThickness" Value="1,1,1,1"/>
            <Setter Property="Template">
                <Setter.Value>
                    <ControlTemplate TargetType="{x:Type DataGridColumnHeader}">
                        <Grid>
                            <Themes:DataGridHeaderBorder BorderBrush="{TemplateBinding BorderBrush}" BorderThickness="{TemplateBinding BorderThickness}" Background="{TemplateBinding Background}" IsClickable="{TemplateBinding CanUserSort}" IsPressed="{TemplateBinding IsPressed}" IsHovered="{TemplateBinding IsMouseOver}" Padding="{TemplateBinding Padding}" SortDirection="{TemplateBinding SortDirection}" SeparatorBrush="{TemplateBinding SeparatorBrush}" SeparatorVisibility="{TemplateBinding SeparatorVisibility}">
                                <Grid>
                                    <Grid.ColumnDefinitions>
                                        <ColumnDefinition Width="Auto"/>
                                        <ColumnDefinition Width="*"/>
                                    </Grid.ColumnDefinitions>
                                    <ContentPresenter Grid.Column="0" HorizontalAlignment="{TemplateBinding HorizontalContentAlignment}" SnapsToDevicePixels="{TemplateBinding SnapsToDevicePixels}" VerticalAlignment="{TemplateBinding VerticalContentAlignment}"/>
                                    <Path x:Name="SortArrow"
                                            Grid.Column="1"
                                            HorizontalAlignment="Right" VerticalAlignment="Center"                                           
                                            Width="8" Height="6" Margin="2,0,5,0"
                                            Stretch="Fill" Opacity="0.5" Fill="White"
                                            RenderTransformOrigin="0.5,0.4"
                                            Visibility="Collapsed"
                                            Data="M0,0 L1,0 0.5,1 z" />
                                </Grid>
                            </Themes:DataGridHeaderBorder>
                            <Thumb x:Name="PART_LeftHeaderGripper" HorizontalAlignment="Left" Style="{StaticResource ColumnHeaderGripperStyle}"/>
                            <Thumb x:Name="PART_RightHeaderGripper" HorizontalAlignment="Right" Style="{StaticResource ColumnHeaderGripperStyle}"/>
                        </Grid>
                        <ControlTemplate.Triggers>
                            <Trigger Property="SortDirection" Value="Ascending">
                                <Setter TargetName="SortArrow" Property="Visibility" Value="Visible" />
                                <Setter TargetName="SortArrow" Property="RenderTransform">
                                    <Setter.Value>
                                        <RotateTransform Angle="180" />
                                    </Setter.Value>
                                </Setter>
                            </Trigger>
                            <Trigger Property="SortDirection" Value="Descending">
                                <Setter TargetName="SortArrow" Property="Visibility" Value="Visible" />
                            </Trigger>
                        </ControlTemplate.Triggers>
                    </ControlTemplate>
                </Setter.Value>
            </Setter>
        </Style>
    </DataGrid.Resources>
</DataGrid>