What is your question? The modeler tells you that you can't do this. The reason is that in the microflow, only the objects you want to display are retrieved. These objects do not contain attributes of other entities, so you cannot show them. When you retrieve objects by XPath, you perform an SQL query which can do joins, so you can access attributes from other entities.
A workaround could be to duplicate your data, so that you can display it.
Otherwise, you should ask yourself if the datasource microflow is really necessary: many problems can be solved by XPath constraints. If you edit your post with your use case, we could suggest an XPath query.
You can solve this using XPath: add the following constraints to your data grid.
[ModuleName.Orders_ShippingPoint/ModuleName.ShippingPoint/ModuleName.ShippingPoint_Report = '[%CurrentObject%]']
[ModuleName.Orders_ShipTo/ModuleName.ShipTo/ModuleName.ShipTo_Report = '[%CurrentObject%]']
[ModuleName.Orders_Material/ModuleName.Material/ModuleName.Material_Report = '[%CurrentObject%]']
Now, because you are using XPath retrieve, you can show the relevant attributes.
That's simply the limitation when using a microflow datasource. This also exists when working with lists over association (so from memory, not database), where I believe the limit is that you can only go 1 association deep.
Depending on what you need and your specific situations there are two alternatives I can think of:
Option 1 can ofcourse also be implemented with the help of an intermediary (helper) object as outlined in option 2.
If you provide us more information on your model and how the datagrid lines are being populated in your microflows, we can provide you with more specific pointers.
Edit: Ofcourse Rom beat me to it :-)