A tip to prevent others wasting as much time as I did.  The documentation section "Binding WebGrid to a WebHierarchicalDataSource" is missing a key point.

Set the ViewType off the DisplayLayout object to Hierarchical.

or in code

UltraWebGrid1.DisplayLayout.ViewType = ViewType.Hierarchical

The example uses ObjectDataSource  components. It shows setting up classes in order to add and change data.   These are not necessary with SQLDataSources (no I didn't get as far as trying that).  You can edit data without even having to set any Update SQL.

It is also not documented that you delete a row by selecting a cell (or row) and pressing the Delete or Del key.  This is, perhaps, obvious but since it is not what you do in either Excel or Access I would have thought it worth a mention somewhere.