You would need to build it to understand my question, as it will become blatantly obvious.  I just rebuilt the project from scratch. 

Start a new WPF project, add XamDataGrid, add this code

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Windows;
using System.Windows.Controls;
using System.Windows.Data;
using System.Windows.Documents;
using System.Windows.Input;
using System.Windows.Media;
using System.Windows.Media.Imaging;
using System.Windows.Navigation;
using System.Windows.Shapes;

using System.Collections.ObjectModel;
using Infragistics.Windows.DataPresenter;

namespace WpfApplication15
{
    /// <summary>
    /// Interaction logic for MainWindow.xaml
    /// </summary>
    public partial class MainWindow : Window
    {
        public MainWindow()
        {
            InitializeComponent();
        }

        private void Window_Loaded(object sender, RoutedEventArgs e)
        {
            ObservableCollection<string> FieldValue;
            ObservableCollection<ObservableCollection<string>> tableValues = new ObservableCollection<ObservableCollection<string>>();
            xamDataGrid1.FieldLayoutSettings.AutoGenerateFields = false;

            xamDataGrid1.FieldLayouts.Add(BuildHeader("FirstName", "LastName", "Age"));

            FieldValue = new ObservableCollection<string> { "John", "Doe", "19" };
            tableValues.Add(FieldValue);

           // FieldValue = new ObservableCollection<string>();
           // tableValues.Add(FieldValue);

            xamDataGrid1.DataSource = tableValues;
        }
           

            private FieldLayout BuildHeader(params string[] headers)
            {
            FieldLayout fldLayout = new FieldLayout();
            for (int i = 0; i < headers.Count(); i++)
            {
                string s = headers[i];
                UnboundField uf = new UnboundField();
                uf.Name = s;
                uf.Label = s;
                uf.BindingPath = new PropertyPath("Items[" + i.ToString() + "]", null);
                fldLayout.Fields.Add(uf);
            }
            return fldLayout;
        }

           
    }
}
 

Where did John Doe go?

Now uncomment the 2 lines that are commented, build, run.

Why does this work?

I have a datasource that will have unknown data in it.  Anywhere from 2 to 255 columns of data.  Anywhere from zero to 40,000 records.  I need something to bind to the grid, that works without knowing anything about the data.  For my testing I use zero records, one record, and many records. 

Like I said I have a work around, but am not sure why I should have to work around this.

So my real question is...  What am I doing wrong?