I have exactly the same issue. I have two columns sorted, Client and Rig. I sorted both by Shift-clicking each column. SortIndicators are shown on each column header. I then drag the Client column to the GroupBy box. It still has the sort indicator on it as does the Rig column. I then drag the Client column from the GroupBy box into the grid again and it no longer has the sort indicator on it and the grid is now only sorted by the Rig column. I have put put a breakpoint in the AfterSortChange handler and I see that the Band.SortedColumns.Count is 2 before I drag the column into the GroupBy box. Then when I drag the column back into the grid, Band.SortedColumns.Count is 1. So I have tried this with no success:

        private void ultraGrid1_AfterSortChange(object sender, BandEventArgs e)
        {
            if (m_bInAfterSortChange)
                return;

            m_bInAfterSortChange = true;
            if (e.Band.Columns["Client.NAME"].SortIndicator != SortIndicator.None)
            {
                e.Band.SortedColumns.Add("RIG", e.Band.Columns["Client.NAME"].SortIndicator == SortIndicator.Descending);
            }
            else if (e.Band.Columns["RIG"].SortIndicator != SortIndicator.None)
            {
                e.Band.SortedColumns.Add("Client.NAME", e.Band.Columns["RIG"].SortIndicator == SortIndicator.Descending);
            }
            m_bInAfterSortChange = false;
        }

What do I need to do the make the GroupBy functionality work properly?