You may be interested in reading this thread.
http://www.llblgen.com/TinyForum/Messages.aspx?ThreadID=7199
However, the Fredrik Normén's blog says:
...By default the GridView control doesn’t have support of inserting records...
And LLBLGenPro Databinding Help says:
...PerformWork. This event is raised when ExecuteInsert/Update/Delete is called on the LLBLGenProDataSource2 control by a bound control...
That's why I think you should find a workaround for this, as the GridView doesn't support Inserting.
What if you use another control at the top or buttom of the grid that perform the insert into the LLBLGenDataSource (same effect that the Fredrik footer solution)? What do you think?