Cells can be merged and splitted in the grid. Select a range of cells and press CTRL+M or CTRL+S to merge or split.

Also programmatically a selection of cells can be merged or splitted with:

TMSFMXGrid1.MergeSelection(TMSFMXGrid1.Selection);
TMSFMXGrid1.SplitCell(TMSFMXGrid1.FocusedCell.Col,TMSFMXGrid1.FocusedCell.Row);