Enable Selection Behavior and RowSelectors for the Bands:

 <Bands>
                <ig:Band DataMember="dvOrders" DataKeyFields="OrderID" AutoGenerateColumns="false">
                    <Columns>
 ...
                    </Columns>
                    <Behaviors>
                        <ig:RowSelectors RowNumbering="true">
                        </ig:RowSelectors>
                    </Behaviors>
                </ig:Band>
            </Bands>

or set EnableInheritance="true"

 <ig:WebHierarchicalDataGrid runat="server" ID="wdgCustomers" DataSourceID="whdsMain"
            AutoGenerateColumns="false" Width="98%" Height="450">
            <Columns>
                ...
            </Columns>
            <Bands>
                <ig:Band DataMember="dvOrders" DataKeyFields="OrderID" AutoGenerateColumns="false">
                    <Columns>
                    ...
                    </Columns>
                </ig:Band>
            </Bands>
            <Behaviors EnableInheritance="true">
                <ig:RowSelectors RowNumbering="true">
                </ig:RowSelectors>
                <ig:Activation>
                </ig:Activation>
                <ig:Selection RowSelectType="Multiple">
                </ig:Selection>
            </Behaviors>
        </ig:WebHierarchicalDataGrid>