Columns are added by observing adminhtml_block_html_before
|
<adminhtml_block_html_before> |
setFilterValues happens before that event fires, so the columns are not available when it tries to match filter -> column.
https://github.com/OpenMage/magento-mirror/blob/magento-1.9/app/code/core/Mage/Adminhtml/Block/Widget/Grid.php#L449-L461