it doesn't works fine really. Add 2 datagrids more to reproduce the error again. The internet explorer restriction not allow more than 31 stylesheets per file. I think that the problem in the datagrid plugin is that first all stylesheets are created, exceeding the limit of IE, and the end the last stylesheets are removed.
I refer to this code on datagrid plugin:
$(ss.join("\n")).appendTo(cc);
setTimeout(function(){
cc.children("style[easyui]:not(:last)").remove();
},0);