Many of the examples that demonstrate how to perform CRUD operations against the WebDataGrid either use the ObjectDataSource mapped to POCOs or implement persistence operations by interfacing with a POCO repository directly.
The key to getting ADO.NET DataTables and DataSets working with the grid is is to use the manual CRUD approach to implement data access directly with the ADO.NET objects, or to use the AutoCRUD approach where the class used by the ObjectDataSource wraps up access to ADO.NET objects.
Once you have the correct wrappers in place you can use just about any type of data container with the grid.