I have the same issue.
If I change the header text on columns for the radgrid on a postback... eg selecting a drop down list (with autopostback=true), the columns header text does not change until I do an additional postback... so the columns header text is always one step behind.
If I rebind the grid after I have changed the header text, the correct header text is displayed, but I am unable to rebind as users could have entered data into the grid already.
I have tried this on page_load and radgrid_PreRender, where I would expect this to work, but the correct header text is not showing... It seems the header text is simply put into viewstate for next time... very puzzling!
Can anyone help please?