Hi Thomas,
The difference is who initiates the loading animation. When the page loads the grid is empty and doesn't display any loading animation. When its Data property is set (usually the Page Load event retrieves the data) the grid populates. From now on when the user interacts with the grid the loading animation is displayed. There are valid cases when the grid renders empty (filter returns no results, or there is no data to begin with) which is why it cannot display a loading indicator initially.
Using the IsLoading property shouldn't be that expensive. You can set it to true from the property grid and then back to false in the Then event of the Invoke Data Source method which gets the data for the grid.