Hi Jeff,
We are using the Infragistics UltraGrid v3 and for us it hung too initially (although I am not sure it hangs when assigning the DataSource).
SQL Profiler revealed that exessive amounts of queries were being made. This was due to the hierarchical nature of the UltraGrid. I don't believe we have circular relations in our database but it simply kept on quering. We managed to fix this by setting MaxBandDepth to 1 instead of to the default 100. Higher MaxBandDepths were possible too, but past 2 or 3 it was quering all over the place again.
Apart from this binding to EntityCollections or TypedLists has not been a problem for us.