Here is a screen shot of how it looks:
Here are the source files.
The technique is simple. Create a custom itemRenderer which can display a icon and text or anything to suite your needs. Make sure it implements the IDropInListItemRenderer interface. In the setter of listData add the logic to change the icon based on the value. Set this as itemRenderer of the OLAPDataGrid.
The sample shows this using a renderer derived from Canvas with a image control and embedded image files. You can use other light weight techniques like coloring a sprite and using UIComponent as base. If you are adventurous you can try tweaking or deriving from OLAPDataGridItemRenderer itself.