To reproduce: follow the steps defined in the following help article: http://docs.telerik.com/devtools/winforms/gridview/hierarchical-grid/tutorial-binding-to-hierarchical-data
Then, add a nested template in the second level. After closing the GridViewTemplate Collection Editor, you will notice that the template is not saved.

http://screencast.com/t/7VDYiopuUHn

Workaround: setup the hierarchy programmatically :  http://docs.telerik.com/devtools/winforms/gridview/hierarchical-grid/binding-to-hierarchical-data-programmatically