Setting the custom format is not applied to the cell. To reproduce: 

   Dim customColumn As New GridViewDateTimeColumn()
        customColumn.Width = 200
        customColumn.Name = "custom"
        customColumn.EditorType = GridViewDateTimeEditorType.TimePicker
        customColumn.FormatString = "{0:HH:mm}"
        customColumn.Format = DateTimePickerFormat.Custom
        customColumn.CustomFormat = "HH:mm"
        RadGridView1.MasterTemplate.Columns.Add(customColumn)

        RadGridView1.Rows.Add(DateTime.Now)