Style the Filtering Funnel Icon
In order to style the filtering funnel icon, you should predefine the template of the FilteringDropDown element and change it as you would like. You can find more information on the topic in the Styling FilteringControl and FilteringDropDown article.
To change the background color for the filtering icon, you should modify the brush named GridView_FilterIconBackground_Filtered, which paints the background of this element when a filter has been applied.
You can get familiar with the template structure of the GridView here.