I created a simple page of WebGrid based on your description. All its columns created at runtime.

protected void WebGrid1_PrepareDataBinding(object sender, ISNet.WebUI.WebGrid.DataSourceEventArgs e)
{
    string Columns = "";
        
    if (!IsPostBack)
    {
        // clear all columns before repopulated
        WebGrid1.RootTable.Columns.Clear();
        WebGrid1.RootTable.SortedColumns.Clear();
        WebGrid1.RootTable.GroupedColumns.Clear();
        WebGrid1.RootTable.FilteredColumns.Clear();

        Columns = "EmployeeID,LastName,FirstName,Title,BirthDate,HireDate,Address,City,Region,Country";
        string[] ColumnsCollection = Columns.Split(',');

        foreach (string Column in ColumnsCollection)
        {
            WebGridColumn col = new WebGridColumn();
            col.DataMember = Column;
            col.Caption = Column;

            WebGrid1.RootTable.Columns.Add(col);
        }
    }
}

Following list shows the step-by-step that were done on my local test in order to test the reported problem.

1. View RowDisappearWhenFilterApplied.aspx sample file in browser.
2. After the page loaded, apply filter on BirthDate column through the filter bar. For example: filter text is: 01/01/1960 00:00:00 and filter type is: Less Than.
3. Move down to a record. For example: "Steven Buchanan" record. Then modify its "City" from London to Manchester.
4. Save the record by pressing Shift + Enter.
5. The record doesn't disappear from the grid.

I enclosed my simple sample as attachment. Please have the sample evaluated on your end and let me know if you find anything that I might miss during my attempt to reproduce the problem.