It's possible that I am misunderstanding this feature. Start new document; create table; select cell; choose "multicol" from table toolbar; switch off top border on that cell. Result: the top border disappears from all but the selected cell.
See screenshot: http://www.unmusic.co.uk/lyx_multicol.png The pdf output reflects what is displayed on screen. -- http://www.unmusic.co.uk - about me, music, geek sitcom etc.