When the first column is a fixed column (i.e. default grid.FixedCols = 1), then the font is controlled by grid.FixedFont.
I retested this here with grid.FixedFont.Name := 'Courier New', grid.FixdFont.Size := 16 and I cannot see an issue, the first column font is the Courier New at 16pt.
Do you use the latest version and if so, what is different in your case?