You never set the Columns(A).ControlSource to begin with. Your code should be in the Init of the Grid. My code goes in the click of the button you mentioned.
Your code can be whittled down:

>

>THISFORM.LOCKSCREEN = .T.
>WITH THIS.PARENT.RFI_GRID1
>	.COLUMNCOUNT = FCOUNT()
>	.GRIDLINES = 1
>	.GRIDLINEWIDTH = 1
>	.GRIDLINECOLOR = RGB(255,255,255)
>	.SCROLLBARS = 3
>	FOR A = 1 TO .COLUMNCOUNT
>		.COLUMNS(A).BACKCOLOR = RGB(192,192,192)
>		.COLUMNS(A).FORECOLOR = RGB(0,0,0)
>		.COLUMNS(A).WIDTH = 75
>		.COLUMNS(A).HEADER1.BACKCOLOR = RGB(0,0,0)
>		.COLUMNS(A).HEADER1.FONTBOLD = .T.
>		.COLUMNS(A).HEADER1.FORECOLOR = RGB(255,255,255)
>		.COLUMNS(A).HEADER1.ALIGNMENT = 0
>		.COLUMNS(A).HEADER1.CAPTION = FIELD(A)
>		.COLUMNS(A).CONTROLSOURCE = FIELD(A)
>	ENDFOR
>ENDWITH
>THISFORM.LOCKSCREEN = .F.
>