GridAutoCompleteColumn columns cannot be created programmatically during OnLoad event, but only using the OnInit event.

In the attached sample, if you comment out 
panelOnInit.Controls.Add(gridOnInit);
and uncomment
panelOnLoad.Controls.Add(gridOnLoad);
when you click Edit in one row the following exception is thrown
Cannot create column with the specified type name: GridAutoCompleteColumn

But if you comment out 
panelOnLoad.Controls.Add(gridOnLoad);
and uncomment
panelOnInit.Controls.Add(gridOnInit);
the sample works

Note that if you change the GridAutoCompleteColumn for any other control type, for example GridHTMLEditorColumn, both methods will work.