I tried this on our test machines but I was unable to reproduce it. Just have to be sure that you set the image first and then the controls in order for them to be over the image.
If your Grid is filling the whole window and you expect the image to appear as background of the cells, this can't happen, because the grid is not transparent but has background which will stay on top of the image and you wont be able to see it. If this is the case, you have to edit the grid template and make the background transparent.
If this is not the case please open a support ticket in order to attach a sample project or send sample code, which I can investigate further and try to find a solution for you.
the Telerik team