I've been trying this, and in the build I'm using I get the exotic error
message:
"AllowCustomPaging must be true and VirtualItemCount must be set for a
DataGrid with ID MyDataGrid when AllowPaging is set to true and the
selected datasource does not implement ICollection"
The docs say that the DataGrid expects a data source that implements
IEnumerable, and the DataReader is not one of these. From the error
message, it looks like you could do it if you implemented custom paging
rather than relying on the features of the DataGrid control. I haven't
tried this yet, but it certainly seems worth a go. It means that you'll
have to manage the data yourself so that you select only the appropriate
rows from the data source. It may not end up being any more efficient.