For the time being I am not quite sure what might be wrong. I have tested the behavior using fully-functional custom theme for RadGridView and everything works fine by my side.
Will you please take a look at the attached project and let me know how it differs from yours?
Furthermore you may also send your application to us as an attachment in a new support ticket.
We may take a look at it and we would be able to provide you with an appropriate solution.
All the best,
the Telerik team
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