Please check this forum thread where the same problem has been already discussed.
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In addition to my last answer, I would like to inform you that we have introduced a new property IsLocalizationLanguageRespected of the RadGridView. It is available with our latest Q1 2013 release.
Its default value is 'true' meaning that the formatting will be based on the Language property (default behaviour). Once you set it to 'false", then the CurrentCulture will be respected.