Probably because you created the grid with predefined number of columns.
If set to -1, the headers accept field captions.
In your case you could do something like:

*Form.Init 
open database ...
select (grid_recordSource)
with thisform.grid1
   for ia=1 to .columncount
       lccom=".Column"+TRANSFORM(ia)+".Header1.Caption="+;
       		"["+ DBGETPROP(ALIAS()+"."+FIELD(ia),"FIELD","CAPTION")+"]"
       	&lccom	
   endfor
endwith

>Hi Terry,
>
>All you get is header1 as your grid heading for all columns in the grid.