Often, when we have only one row group it is obvious to the end user what the data represents (e.g. store name, state, etc.). However, when we we have multiple row groups, it is less obvious what is represented in each column. Hence, the need for column headers. Don't fret. It is possible to create column headers.
Here's how . . .
In the empty cell above the rows add a Rectangle and size it to fit the entire cell. Now add Textboxes for each column you want a header for. Size the Textboxes to be aligned to your data cells. You now have placeholders for your column header text. The key to making this work is properly sizing your columns and headers and setting the CanGrow and CanShrink properties to false.