This might depend on the sequence of steps taken at Design time.
If you assign the entityCollection to the BindingSource after assignin the bindingsource to te grid, columns would not show.
Try doing the following on a new test webForm:
1- Drop an entityCollection on the Form.
2- Drop a bindingSource on the form.
3- Assign the collection to the bindingSource
4- Drop an MS Grid on the form.
5- Assign the bindingSource to the Grid.
Does the colums appear now?