MainWindow.xaml

<Window x:Class="WpfApplication1.MainWindow"
        xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
        xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
        Title="MainWindow" Height="350" Width="525">
    <Grid>
        <Grid.Resources>
            <ControlTemplate TargetType="DataGridCell" x:Key="TestCell">
                <Border Name="PART_CellBorder" SnapsToDevicePixels="True" BorderBrush="Red" BorderThickness="2">
                    <ContentPresenter Name="PART_ContentPresenter" Content="{Binding}" />
                </Border>
            </ControlTemplate>

            <Style TargetType="DataGridCell">
                <Setter Property="Template" Value="{StaticResource TestCell}" />
            </Style>
        </Grid.Resources>
        <DataGrid EnableColumnVirtualization="True" EnableRowVirtualization="True" Name="DataGrid" HorizontalAlignment="Left" Margin="29,32,0,0" VerticalAlignment="Top" Height="256" Width="450"/>
        <Button Content="Button" HorizontalAlignment="Left" Margin="29,10,0,0" VerticalAlignment="Top" Width="75" Click="Button_Click"/>
    </Grid>
</Window>

MainWindow.xaml.cs

namespace WpfApplication1
{
  using System.Linq;
  using System.Windows;

  /// <summary>
  /// Interaction logic for MainWindow.xaml
  /// </summary>
  public partial class MainWindow
  {
    public MainWindow()
    {
      InitializeComponent();
    }

    private void Button_Click(object sender, RoutedEventArgs e)
    {
      DataGrid.ItemsSource = Enumerable.Range(0, 1000).Select(_ => new Person()).ToList();
    }
  }

  public class Person
  {
    public string FirstName { get; set; }

    public string LastName { get; set; }
  }
}

Note.md

System.Windows.FrameworkTemplate.LoadTemplateXaml would be called many times, especially when virtualization is disabled.