The problem is that the GridViewHeaderRow handles the Drag events internally, to be able to execute actions like column reordering and grouping. The internal logic is based on DragDropManager which leads to some inconsistencies with RadDragAndDropManager.
Furthermore, RadDragAndDropManager has been marked as Obsolete and will be deleted for Q2 2014, so I strongly recommend migrating your logic to DragDropManager
As to the question at hand, you can subscribe to DragDropManager.DragOver and Drop events to handle external file drops on RadGridView.
Hope this helps!