I've managed to reproduce your problem. It seems that you've hit a bug in the RadGridView control, so I've updated your Telerik points accordingly.
Problem with your scenario is that RadGridView.ColumnsWidthMode = Fill, does not work when RadGridView has an indeterminate width (infinity). That's why when the width is indeterminate RadGridView changes all "star" columns to "auto" columns. This sounds good but when there is no data source RadGridView does not recalculate header row which is the actual bug.
As a workaround I can suggest you to give some valid Width of the parent RadExpander, or change the RadGridView.ColumnsWidthMode.
Sorry for the inconvenience caused.
P.S. We will do our best to fix this for the next official release.
the Telerik team