Similar discrepancy has been reported before for the Classic version of RadGrid when using GroupLoadMode = Client. The problem should no longer be present in RadGrid for ASP.NET AJAX and you can verify that on the following online demo of the product:
In case you use the ASP.NET version of the control and the glitch appears, consider switching the GroupLoadMode property of the grid to Server and ajaxify the control via RadAjaxManager or RadAjaxPanel to mimic client-side behavior.