Why is this happening?

loObject=THISFORM.grdList.COLUMNx.HEADER1 && (x is the column number)
WITH loObject
   *-- original code
   wait window str(.parent.columncount) && should produce an error? gives me 1 as a result
   *-- you should use this instead
   wait window str(.PARENT.PARENT.ColumnCount)
ENDWITH

Reason:

loObject was assigned the Header Object and therefore; its parent class is the Column object (or COLUMNx). Using loObject.Parent.Parent is the same as Thisform.Grid, which correctly references the Grid.ColumnCount.