public class HeatmapCustomPaintEventArgs :
    EventArgs

Public Class HeatmapCustomPaintEventArgs
    Inherits EventArgs

using DevExpress.Drawing;
using DevExpress.XtraCharts.Heatmap;
using System.Drawing;

namespace TestHeatmap {
    public partial class Form1 : Form {
        public Form1() {
            InitializeComponent();
            // ...
            heatmapControl1.CustomPaint += heatmapControl1_CustomPaint;
        }
        void heatmapControl1_CustomPaint(object sender, HeatmapCustomPaintEventArgs e) {
            using(DXPen pen = new DXPen(Color.Red, 2)) {
                e.DXGraphics.DrawRectangle(pen, this.heatmapControl1.Diagram.GetBounds());    
            }
        }
    }
}

Imports DevExpress.Drawing
Imports DevExpress.XtraCharts.Heatmap
Imports System.Drawing

Namespace TestHeatmap
    Partial Public Class Form1
        Inherits Form

        Public Sub New()
            InitializeComponent()
            ' ...
            AddHandler heatmapControl1.CustomPaint, AddressOf heatmapControl1_CustomPaint
        End Sub
        Private Sub heatmapControl1_CustomPaint(ByVal sender As Object, ByVal e As HeatmapCustomPaintEventArgs)
            Using pen As New DXPen(Color.Red, 2)
                e.DXGraphics.DrawRectangle(pen, Me.heatmapControl1.Diagram.GetBounds())
            End Using
        End Sub
    End Class
End Namespace