According to the provided screenshots, it seems that your code is a bit different than the one referred in the help article. Instead of adding to the ColumnNames collection, you are adding to the Columns collection which I suppose is the reason for not obtaining the desired output. Do you have any columns added to RadGridView?
Back in the beginning of 2016 we removed all obsolete properties for the GridViewColumnGroupRow, e.g. the Columns collection (Obsolete as of Q2 2015). It was announced to use the ColumnNames collection instead.
I have prepared a sample project for your reference. Please give it a try and see how it works on your end.
Dess | Tech Support Engineer, Sr.