What's so bad about this? If it bothers you to loop over the columns or you have multiple DataGridView's, you can write an extension method for this:
public static class DatatGridViewExtensions
{
public static void SetColumnSortMode(this DataGridView dataGridView, DataGridViewColumnSortMode sortMode)
{
foreach (var column in dataGridView.Columns)
{
column.SortMode = sortMode;
}
}
}
Use it like this:
BalancesGridView.SetColumnSortMode(DataGridViewColumnSortMode.NotSortable);