Hi Issam,
Thank you for your update.
As per our previous update, in SfDataGrid, we do not have support for grouping in GridComboBoxcolumn. This is a behavior of SfDataGrid. We recommend you to use the GridMultiColumnDropDownList Column.
We have prepared a sample for grouped items with single column and you can download the sample from the below location. In this sample we have loaded the SfDataGrid within the SfMultiColumnDropDownControl’s Popup content control and we have set the SfDataGrid.ShowColumnWhenGrouped as false to avoid the item display of which column has been Grouped.
Sample : https://www.syncfusion.com/downloads/support/forum/121570/ze/Grouped_Items2105483787
Regards,
Sowndaiyan