I use GroupField to construct multilevel header (12.1.20121.2178 version). 

In the attached picture we can see two examples.

The first example uses GroupField RowSpan=2 in gHeader11, gHeader21 and so on. These are the  GroupField inside others GroupFields in other words the second level GroupFields. And result in the first example is as expected.  

<ig:WebDataGrid ID="WebDataGrid1" runat="server" Height="150px" Width="800px" AutoGenerateColumns="false">
<Columns>
<ig:GroupField Key="ID1" Header-Text="gHeader1">
<Columns>
<ig:GroupField Key="Group_col1" Header-Text="gHeader11" RowSpan="2">
<Columns>
<ig:UnboundField Key="col1" Header-Text="1" />
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
<ig:GroupField Key="ID2" Header-Text="gHeader2">
<Columns>
<ig:GroupField Key="gHeader21" Header-Text="gHeader21" RowSpan="2">
<Columns>
<ig:UnboundField Key="col2" Header-Text="2" />
</Columns>
</ig:GroupField>
<ig:GroupField Key="gHeader22" Header-Text="gHeader22" RowSpan="2">
<Columns>
<ig:UnboundField Key="col3" Header-Text="3" />
</Columns>
</ig:GroupField>
<ig:GroupField Key="gHeader23" Header-Text="gHeader23" RowSpan="2">
<Columns>
<ig:UnboundField Key="col4" Header-Text="4" />
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
<ig:GroupField Key="ID3" Header-Text="gHeader3">
<Columns>
<ig:GroupField Key="ID4" Header-Text="gHeader4">
<Columns>
<ig:GroupField Key="gHeader41" Header-Text="gHeader41">
<Columns>
<ig:UnboundField Key="col5" Header-Text="5" />
</Columns>
</ig:GroupField>
<ig:GroupField Key="gHeader42" Header-Text="gHeader42">
<Columns>
<ig:UnboundField Key="col6" Header-Text="6" />
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
<ig:GroupField Key="ID5" Header-Text="gHeader5">
<Columns>
<ig:GroupField Key="gHeader51" Header-Text="gHeader51">
<Columns>
<ig:UnboundField Key="col7" Header-Text="7" />
</Columns>
</ig:GroupField>
<ig:GroupField Key="gHeader52" Header-Text="gHeader52">
<Columns>
<ig:UnboundField Key="col8" Header-Text="8" />
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
<ig:GroupField Key="ID6" Header-Text="gHeader6">
<Columns>
<ig:GroupField Key="gHeader61" Header-Text="gHeader61" RowSpan="2">
<Columns>
<ig:UnboundField Key="col9" Header-Text="9" />
</Columns>
</ig:GroupField>
<ig:GroupField Key="gHeader62" Header-Text="gHeader62" RowSpan="2">
<Columns>
<ig:UnboundField Key="col10" Header-Text="10" />
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
</Columns>
</ig:WebDataGrid>

The second example uses GroupField RowSpan=2 in gHeader1, gHeader2 and so on. These are the  first level GroupFields. And result is all mess of the headers.

<ig:WebDataGrid ID="WebDataGrid2" runat="server" Height="150px" Width="800px" AutoGenerateColumns="false">
<Columns>
<ig:GroupField Key="ID1" Header-Text="gHeader1" RowSpan="2">
<Columns>
<ig:GroupField Key="Group_col1" Header-Text="gHeader11" >
<Columns>
<ig:UnboundField Key="col1" Header-Text="1" />
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
<ig:GroupField Key="ID2" Header-Text="gHeader2" RowSpan="2">
<Columns>
<ig:GroupField Key="gHeader21" Header-Text="gHeader21" >
<Columns>
<ig:UnboundField Key="col2" Header-Text="2" />
</Columns>
</ig:GroupField>
<ig:GroupField Key="gHeader22" Header-Text="gHeader22">
<Columns>
<ig:UnboundField Key="col3" Header-Text="3" />
</Columns>
</ig:GroupField>
<ig:GroupField Key="gHeader23" Header-Text="gHeader23">
<Columns>
<ig:UnboundField Key="col4" Header-Text="4" />
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
<ig:GroupField Key="ID3" Header-Text="gHeader3">
<Columns>
<ig:GroupField Key="ID4" Header-Text="gHeader4">
<Columns>
<ig:GroupField Key="gHeader41" Header-Text="gHeader41">
<Columns>
<ig:UnboundField Key="col5" Header-Text="5" />
</Columns>
</ig:GroupField>
<ig:GroupField Key="gHeader42" Header-Text="gHeader42">
<Columns>
<ig:UnboundField Key="col6" Header-Text="6" />
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
<ig:GroupField Key="ID5" Header-Text="gHeader5">
<Columns>
<ig:GroupField Key="gHeader51" Header-Text="gHeader51">
<Columns>
<ig:UnboundField Key="col7" Header-Text="7" />
</Columns>
</ig:GroupField>
<ig:GroupField Key="gHeader52" Header-Text="gHeader52">
<Columns>
<ig:UnboundField Key="col8" Header-Text="8" />
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
<ig:GroupField Key="ID6" Header-Text="gHeader6" RowSpan="2">
<Columns>
<ig:GroupField Key="gHeader61" Header-Text="gHeader61" >
<Columns>
<ig:UnboundField Key="col9" Header-Text="9" />
</Columns>
</ig:GroupField>
<ig:GroupField Key="gHeader62" Header-Text="gHeader62">
<Columns>
<ig:UnboundField Key="col10" Header-Text="10" />
</Columns>
</ig:GroupField>
</Columns>
</ig:GroupField>
</Columns>
</ig:WebDataGrid>

Did I miss something, or there is limitations in constcucting the headers?

Thanks in advance.