That will assure that my grid's datasource is always populated with an object, but how do I go about getting any user changes after the page has been rendered back into that object?  Am I correct in assuming that because of the page lifecycle, after the page has been rendered the object bound to the datasource of the grid is gone?

How do I go about getting the changed data out of the grid and back into an object so I can save the changes to the database? Do I have to spin through the grid rows and pick out all of the changes and manually rebuild my object, or is there some easier way?

This is a common issue with ASP.NET data binding.  Each time you hit the page, it's as if it's a new request, with the exception of any details that were passed back and forth in the page.

In your Page_Load event handler, you're only setting the grid's data source when the page is not posting back.  Thus, whenever you're processing your button's Click event, you've not set your grid's data source at all.

My suggestion:  Handle the grid's InitializeDataSource event, and set the grid's DataSource there (in addition to populating the data source itself).  This is called on every postback.  It gets called early in the page's lifecycle on every postback, which means that it won't "clobber" any changes the user has made, and thus can ignore the "IsPostBack" check.

Imports Infragistics.WebUI.UltraWebGrid
...
Protected Sub UltraWebGrid1_InitializeDataSource(ByVal sender as Object, ByVal e As UltraGridEventArgs) Handles UltraWebGrid1.InitializeDataSource
    Try
        Dim Connections as New ConnectionConfiguration
        UltraWebGrid1.DataSource = Connections.SearchResults()
    Catch ex As System.Exception
        Throw ex
    End Try
End Sub

If you wanted to avoid reloading your connections on every postback, you may want to store the results of your Connections.SearchResults() method somewhere such as session state, and re-set the grid's DataSource property to what's stored in the session state whenever you have it.  If you take this approach, I suggets you make the "gridDataSource" a private field of your page.  (Note that I haven't tested the below code, so I may not have this entirely correct.)

Imports Infragistics.WebUI.UltraWebGrid
...
    ' Replace "ResultType" below with the actual data type you get from your SearchResults() method.
    Private gridDataSource as ResultType
...
Protected Sub UltraWebGrid1_InitializeDataSource(ByVal sender as Object, ByVal e As UltraGridEventArgs) Handles UltraWebGrid1.InitializeDataSource
    ' Replace "ResultType" below with the actual data type you get from your SearchResults() method.
    gridDataSource = TryCast(Session("Results"), ResultType)

    If gridDataSource is Nothing Then
        ' Couldn't find the search results in Session, so re-load them
        Try
            Dim Connections as New ConnectionConfiguration
            gridDataSource = Connections.SearchResults()
        Catch ex As System.Exception
            Throw ex
        End Try
    End If

        UltraWebGrid1.DataSource = gridDataSource
End Sub
...
Protected Sub Page_Unload(ByVal sender as Object, ByVal e as EventArgs) Handles Page.Unload
    ' Store the grid's DataSource in session state
    Session("Results") = gridDataSource
End Sub

I have a Webform with the following in the Page_Load:

        Try

            If Me.IsPostBack = True Then Return
            Dim Connections As New ConnectionConfiguration
            UltraWebGrid1.DataSource = Connections.SearchResults()
            UltraWebGrid1.DataBind()

        Catch ex As System.Exception
            Throw ex
        End Try

I also have a the following:

Protected Sub WebImageButton1_Click(ByVal sender As Object, ByVal e As Infragistics.WebUI.WebDataInput.ButtonEventArgs) Handles WebImageButton1.Click

        Try

            Dim Connections As New ConnectionConfiguration
            Connections.Save(UltraWebGrid1.DataSource)

        Catch ex As Exception
            Throw ex
        End Try
End Sub

In the event above, UltraWebGrid1.Datasource is ALWAYS nothing, even though it was bound in the Page_Load and the grid visually displays data.  I have ViewState turned on for both the page, button and the grid.  Am I missing something?