There is no setting that affect the NullDateString.
The only thing I can think of is that there is an exception, which is swallowed by the grid or the framework which you don't see. Is your debugger set to break on all exceptions? (Debug Menu -> Exceptions -> Common Language Runtime Exception, then select "Break into the debugger" radio button in VS2003, or select "Thrown" CheckBox in VS2005).
If you are in VS2005, make sure the "Enable Just My Code" CheckBox is unselected (Tools Menu -> Options -> Debugging -> General).
For the null data verification, what you are doing is fine.
Xceed Software Inc.