Maybe it depends on your version of Visual Studio...but I have some code that sets tooltips by looping through the rows of a grid, and when it finds the column I want to add a tooltip to, I just set it. (I also have a Tooltip control on the page...but I don't think you need it for this to work.) I use VS 2008.
For Each dgvr as DataGridViewRow In dgvGrid.Rows
dgvr.Cells("ColumnThatNeedsToolTip").ToolTipText = "This is the tooltip!"
Next
I run it the Form's Load Event but if the grid's visibility is set to false you'll have to run it after it's visible again. You may have to rerun it after using a filter.