That should be the default behavior. Clicking a column header will ultimately result in a SortDescription being added to the RadGridView control, and that persists across rebinds. I just tried it using both auto- and manually-generated columns (project attached), and the sort descriptions and column sorting states persist as expected.
Do you have a case when that does not happen? Can you provide some details on your scenario?
Sincerely yours,
Hristo Deshev
the Telerik team
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