Hello Alexander,

I was able to see that rows keep their expanded state by default on post back. I have used below mark up and code to test the behavior you described: 

<ig:WebHierarchicalDataGrid ID="WebHierarchicalDataGrid1" runat="server" Height="350px"          Width="400px" DataKeyFields="ID" AutoGenerateBands="False" AutoGenerateColumns="False" InitialDataBindDepth="0">
<Columns>
 <ig:BoundDataField DataFieldName="ID" Header-Text="ID" Key="ID">                     </ig:BoundDataField>
<ig:BoundDataField DataFieldName="NumEditorID" Header-Text="NumEditorID" Key="NumEditorID" ></ig:BoundDataField>
</Columns>
<Bands>
<ig:Band DataMember="Locals" Key="Locals" AutoGenerateColumns="false"  DataKeyFields="ModID">
<Columns>
<ig:BoundDataField DataFieldName="ModID" Header-Text="ModID" Key="ModID" >
</ig:BoundDataField>
</Columns></ig:Band></Bands>
</ig:WebHierarchicalDataGrid>

protected void Page_Load(object sender, EventArgs e)
{
if (Session["data"] == null)
{
Session["data"] = GetEmployDepartmentDataSet();
}
this.WebHierarchicalDataGrid1.DataSource = Session["data"];
}
private DataSet GetEmployDepartmentDataSet()
{
DataSet ds = new DataSet("EmployeeRecords");
// Get the tables to use in the DataSet
DataTable Employees = new DataTable("Employess");
Employees.Columns.Add("ID", typeof(int));
Employees.Columns.Add("NumEditorID", typeof(int));
for (int i = 0; i < 10; i++)
{
Employees.Rows.Add(new object[] { i, i+i });
}
Employees.PrimaryKey = new DataColumn[] { Employees.Columns[0] };
DataTable Locals = new DataTable("Locals");
Locals.Columns.Add("ModID", typeof(int));
for (int i = 0; i < 10; i++)
{
Locals.Rows.Add(new object[] { i});
}
Locals.PrimaryKey = new DataColumn[] { Locals.Columns[0] };
// Add the tables to the DataSet
ds.Tables.Add(Employees);
ds.Tables.Add(Locals);
// Create the relationship between the tables.
ds.Relations.Add("DepartmentEmployee", Employees.Columns["ID"], Locals.Columns["ModID"]);
return ds;
}

However, you may write below lines of code that will keep the state of expanded grid:

if (this.WebHierarchicalDataGrid1.GridView.Rows.Count > 0)
{
foreach (ContainerGridRecord rec in this.WebHierarchicalDataGrid1.GridView.Rows)
{
if (rec.Expanded == true)
{ rec.ExpandChildren(); }}}

I hope this helps.