Why might paging (sorting, grouping, filtering) not work in the ASPxGridView?

Indeed, in this case, the ASPxGridView won't be able to work properly. This is because the ASPxGridView does not cache data, so you must provide it to the control at the every request to the server. Here is the code which must be used when setting the control's DataSource at runtime:

	
[C#]
protected void Page_Init(object sender, EventArgs e)  {
   // initialize SomeDataTable
   ASPxGridView1.DataSource = SomeDataTable;
   ASPxGridView1.DataBind();
}

protected void Page_Load(object sender, EventArgs e)  {
   ...
}

UPDATE:
With the newest version ASPxGridView supports the caching mechanism (it is enabled by default). If you wish to use it and bind the grid at runtime, use the approach posted in the ‘Bind a grid to a DataTable via code’ example. In this case, ASPxGridView will be re-populated only when it requires data. In other cases the grid will take data from its own custom callback state. You can learn more about this mechanism here:

ASPxGridView Row Cache

Here is some code snippet:

	
[C#]
protected void Page_Load(object sender, EventArgs e) {
        //Bind the grid only once
        if (!IsPostBack)
            grid.DataBind();
}

protected void grid_DataBinding(object sender, EventArgs e) {
        // Assign the data source in grid_DataBinding
        grid.DataSource = GetTable();
}