Although this property is set to HierarchyLoadMode="ServerOnDemand" it behaves like some mixed mode.
Actually, everything is work just as should be work by documentation, but when I expand for the first time any of child levels, grid tries to Bind all the child tables.
I have considered this in SqlProfiler, when you expand some level but only for the very first time, you can see database calls for every parent row.
If it can help you in answering my problem I have used SessionDataSource.
Thanks in advance.