I assume youre getting data from database using some bindings or so. First thing i figured out is the data can be saved after sorting. If you dont want edit anything through grid set IsReadOnly on True. If not i have no clue... I've been working with Telerik since 2 months and never had such problem.
Heres my typical set of propeties for GridView wiew i'm using in most of cases:
<wfcGrid:WFGridView CanUserReorderColumns="False" AutoGenerateColumns="False" x:Name="dgDocuments"
HorizontalAlignment="Stretch" VerticalAlignment="Stretch" Margin="5" SelectionChanged="dgDocuments_SelectionChanged"
ShowInsertRow="False" ShowGroupFooters="False" ShowGroupPanel="False" ItemsSource="{Binding Documents}"
RowLoaded="dgDocuments_RowLoaded" RowIndicatorVisibility="Collapsed" CanUserSortColumns="True"
ScrollViewer.HorizontalScrollBarVisibility="Hidden" IsReadOnly="True">
Don't mind namespaces. It's just custom control which inerits from GridView.