Good day Sir Dilyan. Thank you for your response.
I tried to create a new program to recreate the behavior and I found this GridView property.
<Setter Property="DataLoadMode" Value="Asynchronous"/>
This results the the behavior I am experiencing But only if I use a RadDataPager to my GridView.
I have tried the following
GridView without DataLoadMode=Asynchronous with RadDataPager - its working
GridView with DataLoadMode=Asynchronous without RadDataPager - its working
GridView with DataLoadMode=Asynchronous with RadDataPager - a busy indicator is displaying and not closing