I do not recommend adding actual checkboxes to your datagrid.
I have projects where I have ‘drawed’ checkboxes before datagrids rows with CSS using the :before & :after pseudoclasses. Mendix adds the selected class to rows that are selected so you can style accordingly.
Example of checkboxes drawn in CSS:
https://codepen.io/Vestride/pen/dABHx
However, your best option is to use a listview widget or to wait for the new datagrid widget that Mendix has announced on Mendix World 2020