You cannot apply a shader effect to a specific Grid cell, but you can add a Rectangle or Border element in a panel (such as a Grid) to get the desired effect you are looking for. Remember to add a Rectangle first or play with ZIndex as shown below so that your code does not hide any controls.
<Grid>
<Grid.RowDefinitions>
<RowDefinition/>
<RowDefinition/>
</Grid.RowDefinitions>
<Grid.ColumnDefinitions>
<ColumnDefinition/>
<ColumnDefinition/>
</Grid.ColumnDefinitions>
<Rectangle Grid.Column="0" Grid.Row="1" Panel.ZIndex="0" >
<Rectangle.Style>
<Style TargetType="{x:Type Rectangle}">
<Setter Property="Fill" Value="Blue"/>
</Style>
</Rectangle.Style>
</Rectangle >
<TextBox Grid.Column="0" Grid.Row="1" Height="25" Margin="10" Text="Test 123" Panel.ZIndex="1" />
</Grid>
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