I'm glad you were able to include the control in toolbox.
We do not provide the same UI for Windows Phone - there are no headers like the traditional grid components. The paradigms for building controls that display a list of items in WindowsPhone are different.
We however provide out of the box ways to sort and filter the data. Please check this blog post for more info and example how this is done - http://blogs.telerik.com/valentinstoychev/posts/11-02-09/radjumplist-for-wp7-part-i---introduction-and-simple-usage.aspx
We also provide a way to customize the data displayed in each row - for this you need to use ItemTemplate.
You can start learning more about the control by visiting the documentation center for the control - http://www.telerik.com/help/windows-phone/radjumplist-getting-started.html
Have a suggestion or face a problem - you can use the Ideas & Feedback portal
to submit ideas, feedback and vote for them.