Is there any event that occurs once in a lifetime of UltraGrid?
Not really; however, there is the 'InitializeLayout' event which will fire whenever the datasource of the grid is set\changed. As long as you only set this once, then it shouldn't fire again.
Another option would be to derive a class from the grid and handle OnCreateControl.
I might be able to offer other suggestions if I knew why you need the event and what you intend to use it for.