The sample worked for me using 5.2. So, I installed the 5.1.0.47, version that you said you were using. I am able to change the WorkWeekHeaderFormat property and see it take effect in the schedule with this version also. I have attached a picture showing what I did. (I used the recurring events sample).
As far as subscribing to grid events, there are different grids created as you change views. So, you cannot just subscribe to a grid event once as it will be lost as you change the views (like you discovered).
So in the ScheduleControl, instead of subcribing to grid events to modifiy grid behavior, you will need to derive the ScheduleControl class and override CreateScheduleGrid. There you can create an instance of a derived ScheduleGrid. In the derived grid, you can then override methods like OnMouseDown to affect the behavior of the grid. (This would be instead of trying to subscribe to a grid.MouseDown event.) But this will take some coding.
Why are you trying to catch the MouseDown on the embedded grid? You might look around to see if there is an event directly on the ScheduleControl that you might be able to use.
schedule.zip