Just to add info for topics maybe it helps someone.

So...

I have a next issue:

1. Base class Class1 with fields X, Y

2. Extended class Class2 : Class1 with additional field Z

3. ObservableCollection<Class1>

4. XamDataGrid with FieldLayouts for X,Y,Z.

What have I seen:

When no data in collection there is no header in grid.

After adding some values of  type Class2, data existed also with a proper header.

What helps me with no data in collection:

change collection to ObservableCollection<Class2>

Hi,

Is there any valid solution to this problem?

Thanks,

VJ

Thank you for posting your solution.  I'm having some difficulty, however, implementing it.  I'm not 100% sure I have interpreted this correctly, but I have achieved something resembling the result you described.    The result, however, has some unfortunate ramifications, which I'll explain in a few paragraphs.  For clarification, my implementation included the following aspects:

1. Your code above was implemented in a new class -- i.e. not one of my natural business objects.   (Caveat:  In my code, I used BindingList<string> in place of ThreadedBindingList<string> -- I did not find a standard library class called ThreadedBindingList<>.  I assume that is something you implemented; and I'm assuming it isn't critical to the solution; am I right?)
2. I created another new class, a business class collection holder, similar to the class above, but which holds a collection of my business objects in a BindingList<> attribute.
3. Using my Window_Loaded event handler, I used xamDataGrid.DataItems.Add() twice -- once to add  an instance of the business class collection holder and once to add an instance of your class.
4. I changed my XAML for the xamDataGrid to set AutoGenerateFields="True"

With this implementation, I now seem to get a result where the column headers do not go away with an empty collection, but I get a grid which has a few unfortunate features:

1. The grid starts out visually empty except for a expansion "+" icon, which must be clicked in order for the user to see the grid contents.  (Caveat:  it seems odd to me that this isn't automatically expanded given the "AlwaysDisplayHeader" setting that is part of the solution.)
2. Above the column header line, the name of the attribute that holds the list is displayed.
3. The columns are all indented both vertically and horizontally -- i.e. not flush on the Northwest corner, as desired
4. An unfortunate horizontal bar appears where the non-browsable field would have, and an extra blank row appears (with triangular row marker on the left margin).

My primary meaning is not to nit-pick your workaround but rather to ask whether this was indeed the result you obtained.  I tried several other permutations interpreting your solution including the following: 

1. Your code added to my existing business object class (instead of being a new class)
2. Your code above in a new class, an instance of which I added to the content collection of the grid (but with my business objects added separately, not in a collection)
3. Your code above in a new class, an instance of which was added as a property of my business object class. 

Any insights would be appreciated. 

There is a bug in the xamdatagrid where if you only have collections and all the collections are empty it wont show the collection headers.  However, if even one collection is not empty it will show all the headers if the ExpandableFieldRecordHeaderDisplayMode is set to AlwaysDisplayHeader.  So to override the bug add a dummy collection to your data object which has a non empty collection and set the browsable attribute to false so it wont show up in the xamdatagrid. I use the following

private readonly BindingList<string> DummyForXamDataGridBackingField ;

public dataobject()
{
     string dummycollectionitem =
          "This is here to force the xamdatagrid to show the headers in the other browsable collections";
     DummyForXamDataGridBackingField = new ThreadedBindingList<string> { dummycollectionitem };

}

[Browsable(false)]
public ThreadedBindingList<string> DummyForXamDataGrid
{
    get { return DummyForXamDataGridBackingField; }
}

works like a charm.