Are you using version 1.5.1.1?
Here is code that I added to a Form_Load event after dropping a GridDataBoundGrid onto the form. With this code, the formatting seemed to work as expected.
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
Dim dt As New DataTable("MyTable")
Dim nCols As Integer = 2
Dim nRows As Integer = 10
Dim i As Integer
Dim j As Integer
dt.Columns.Add(New DataColumn("Col1"))
dt.Columns.Add(New DataColumn("doubleCol", GetType(Double)))
For i = 0 To nRows - 1
Dim dr As DataRow = dt.NewRow()
dr(0) = String.Format("row{0}", i)
dr(1) = 45D
dt.Rows.Add(dr)
Next
Dim column As New GridBoundColumn()
column.MappingName = "Col1"
Me.GridDataBoundGrid1.GridBoundColumns.Add(column)
column = New GridBoundColumn()
column.MappingName = "doubleCol"
column.StyleInfo.CellValueType = GetType(Double)
column.StyleInfo.Format = "#.00"
Me.GridDataBoundGrid1.GridBoundColumns.Add(column)
Me.GridDataBoundGrid1.DataSource = dt
End Sub