I seem to recall an issue that was fixed a while ago regarding populating the child band in the BeforeRowExpanded event, so depending on your version this may be the same issue.  I hacked together a quick test, which seemed to work for me:

private static DataTable GetTable()
{
    DataTable dt = new DataTable();
    dt.Columns.Add("Col 1", typeof(string));
    dt.Columns.Add("Col 2", typeof(int));
    dt.Columns.Add("Col 3", typeof(decimal));
    dt.Columns.Add("Col 4", typeof(bool));
    dt.Columns.Add("Col 5", typeof(DateTime));

    for (int i = 0; i < 30; i++)
    {
        dt.Rows.Add(new object[] { "Row " + i.ToString(), i, i * 1.234m, i % 2 == 0, DateTime.Now.AddYears(i) });
    }

    return dt;
}

public Form1()
{
    InitializeComponent();

    DataSet ds = new DataSet();
    DataTable dt = GetTable();
    DataTable dt2 = new DataTable();
    dt2.Columns.Add("Col 1");

    ds.Tables.Add(dt);
    ds.Tables.Add(dt2);
    ds.Relations.Add(dt.Columns[0], dt2.Columns[0]);
    this.ultraGrid1.DataSource = ds;
}

private bool hasPopulatedChildBand;
private void ultraGrid1_BeforeRowExpanded(object sender, Infragistics.Win.UltraWinGrid.CancelableRowEventArgs e)
{
    if (this.hasPopulatedChildBand)
        return;

    DataTable dt = ((DataSet)this.ultraGrid1.DataSource).Tables[1];
    dt.Columns.Add("Col 2", typeof(int));
    dt.Columns.Add("Col 3", typeof(decimal));
    dt.Columns.Add("Col 4", typeof(bool));
    dt.Columns.Add("Col 5", typeof(DateTime));

    for (int i = 0; i < 30; i++)
    {
        dt.Rows.Add(new object[] { "Row " + i.ToString(), i, i * 1.234m, i % 2 == 0, DateTime.Now.AddYears(i) });
    }
    this.hasPopulatedChildBand = true;
}

Is this roughly the same approach that you described (ignoring how you're getting your data, since that shouldn't be relevant)?  I add a column and the DataRelation at first, but no data, and populate the child band once I try to expand a row.  When I do this, the child data correctly shows up.  If my approach is the same, then you should try to download the latest service release to see if the issue is resolved in your application.

-Matt

It's possible that something was fixed past the 9.1 release that affects this functionality.  If you can post a sample project here that I can run, I'd be happy to see if it works in the latest version, or you could submit it to Developer Support so that they can look at it.

-Matt