First separately upgrade you DataGrid2 to the newest version, maybe this means upgrading to mx9.3.0 and see if in that version this error still occurs. If not, you might want to check if upgrading your project to Mx9.3.0 is an option and go for it.
If however the error is still there, then it’s an error thrown by proprietary Mendix software and a very new and intricate piece of it too. Best create a support ticket at support.mendix.com as Mendix is working hard at maturing DataGrid2.
The data grid2 widget has now be upgraded to the newer version and with Mendix v9.3, this issue is resolved.
PS: For dynamic label captions, the Datagrid2 should be placed within a dataview widget, for it to work.