I supposed that the grid is populated through simple data binding calling DataBind() and this leads to the described behavior. Keep in mind that if you choose simple data-binding, you will need to assign data-source and rebind the grid after each operation (paging, sorting, filtering, etc.) - this copies exactly MS DataGrid behavior.
Therefore, I would recommend you subscribe to NeedDataSource event handler prepare the data source (list of objects) for Telerik RadGrid and assign it to the grid's DataSource
property as it is shown in this online example:
Note that OnNeedDataSource event is available in 2012.2.607.35 version of Telerik UI controls for ASP.NET AJAX. Can you make sure that you have reference to Telerik.Web.UI.dll in your project?
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