Yes, in this case unfortunately I am not sure InitializeDataSource will do the job, since it is called early in the lifecycle after postback (before Page_Load) in order to restore the state of the grid. In Load On Demand scenarios you would most probably have to explicitly rebind the grid later on in the lifecycle, depending on the situation.
I have found the following blog post by Tony Lombardo to be very very helpful in understanding how UltraWebGrid databinding works:
http://blogs.infragistics.com/blogs/tony_lombardo/archive/2008/01/29/demystifying-infragistics-webgrid-databinding.aspx
Also, you can check out our AJAX examples located here:
http://samples.infragistics.com/2008.2/webfeaturebrowser/default.htm
(in the AJAX - > WebGrid section). There are 8 samples with full source code demonstrating different AJAX / Load On Demand scenarios, so hopefully this will get you started.