Thank you for sample. It works.
Very strange, but when I have replaced my XAML:
<sfgrid:GridTemplateColumn MappingName="Surname" HeaderText="First Name binding">
<sfgrid:GridTemplateColumn.CellTemplate>
<DataTemplate>
<Label x:Name="label" Text="{Binding Surname}" TextColor="Black" />
</DataTemplate>
</sfgrid:GridTemplateColumn.CellTemplate>
</sfgrid:GridTemplateColumn>
with equal XAML from sample my project also works:
<sfgrid:GridTemplateColumn MappingName="FirstName" HeaderText="First Name binding">
<sfgrid:GridTemplateColumn.CellTemplate>
<DataTemplate>
<Label x:Name="label" Text="{Binding FirstName}" TextColor="Black" />
</DataTemplate>
</sfgrid:GridTemplateColumn.CellTemplate>
</sfgrid:GridTemplateColumn>