Kevin,
I removed the grid and dropped on a new one and set it up. It has the same behavior as before - not showing the styles from the DataGridColumnStyle. I have looked at the sample app and its grid behaves as expected. I have compared the properties of my attempt vs. the sample and except for formatting (colors and fonts) they seem identical. I also observed another behavior difference: the sample displays column headers when the grid is empty (both the orders and order detail grids). On mine the header is blank until the grid contains some data.
Greg