Hey marrocmau,
Creating grids like this is impossible in Highcharts, but is possible to create HTML table and positioned it properly to chart. Check this example:
https://jsfiddle.net/Bastss/xdpocbrn/. In this example data has 5 days and I've created 5 cells and set their heights adequately to heights of cells in the heatmap. If you want to have more cells you can write your own function to create as many cells in the table as in the heatmap, but it's JavaScript&HTML task, not Highcharts.
Best regards!