Enabling the ViewState in Radgrid will allow you to expand more groups. Please give it a try and see if that works for you. (also attached a working sample)
<telerik:RadGrid EnableViewState="true" ...>
The purpose of ViewState is to store the controls' state, which can then be restored after a postback. For more information, you can check out the Maintaining State in a Control article. This is an important feature and should be left with the default (true) to get out the best of RadGrid.