Try handling the QueryCellStyleInfo event and setting the text there.
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.Text = e.TableCellIdentity.Table.FilteredRecords.IndexOf(e.TableCellIdentity.DisplayElement.ParentRecord).ToString();
}
}