This problem resolved itself somehow.. isn't that great?
Anyway, I just thought it might help someone else save time if they have a similar issue. I'm not very familiar with asp.net anyway so maybe its some newbie issue too.
Using the DevExpress aspxGridView control (ver 2008.2.4) in Visual Studio 2005, LLBLGen runtime 2.6 (runtime v2.0.50727), I'd attempt to set the grid's DataSource to a TypedList at design time, and teh grid would be replaced with an "Error rendering control".. "unhandled exception" message.
However, I could bind this list to the control manually during Page_Init and it would display all the columns within the list when run.
After this, through some mucking around within the Designer it all came good.. i.e. the grid + columsn would display at designtime and could be customised as usual.
e.g. try:
1. login/logout
2. changing the LLBLGenDatasource2 to something else (e.g. an EntityCollection)
3. clearing the datastore from the grid and back again
4. go to aspxGrid -> Columns -> Retrieve columns. (If this button is enabled, you are looking good...)