I have discovered an issue in Q3 with displaying templated GridViewHeader controls via a custom hierarchy.
I have posted a demo project displaying the issue - basically when displaying RadGridView controls with the same GridViewHeaderRow style applied to all GridViews only the top most parent GridView has this style applied, all child GridViews simply do not render the header at all. If I remove the style then the default header shows as expected. The style/template I am using is the one generated from Blend and has not been modified at all.
This same project, when compiled against Q2, works as expected and all headers are displayed.
I am using 2009.3.1127.1030, but also can replicate using the full release version of Q3.