One way you can do this is to handle the QueryCellStyleInfo event and set the row header text there.
//in form.load
this.grid.QueryCellStyleInfo += new GridTableCellStyleInfoEventHandler(grid_QueryCellStyleInfo);
this.grid.TableOptions.RowHeaderWidth = 30;
//the handler
private void gridGroupingControl1_QueryCellStyleInfo(object sender, GridTableCellStyleInfoEventArgs e)
{
if(e.TableCellIdentity.TableCellType == GridTableCellType.RecordRowHeaderCell
|| e.TableCellIdentity.TableCellType == GridTableCellType.AlternateRecordRowHeaderCell)
{
e.Style.CellType = "Header";
e.Style.CellValue = this.gridGroupingControl1.Table.FilteredRecords.IndexOf((e.TableCellIdentity.DisplayElement as GridRecordRow).ParentRecord) + 1;
}
}