I sounds like a bug, in most cases the grid works with the default search values. Apperently there are a few small testcases missing in the R&D test projects.
If the default search value works when you press the search button it is hard to imagine that you made a modelling error. The best thing you could do is create an incident in mxdn.
Comment to Karol: Changing the wait for search property is a work around for this problem, but the default search value should be working identical the first time a grid loads as when you press the search button.
If you are dealing with a dataGrid have you set the property 'wait for search' to true? This setting defines whether the contents of the grid are immediately visible or that first a search has to be performed. This is useful for grids with very large amounts of objects that do not need to be browsed all at the same time. Default value is false.