There was a little bug:
To make the things work, just change line 139 in components/com_grid/GridBuilder.php from:
if($this->_config->link[2*$i]!=0 && !in_array($this->_config->link[2*$i+1], $query_columns))
to:
if($this->_config->link[2*$i]!="0" && !in_array($this->_config->link[2*$i+1], $query_columns))
...or wait untill new version comes out.
Regards,
Tomaž