To reproduce:
Public Class RadForm1
    Public RadGridView1 As RadGridView

    Private Sub RadForm1_Load(sender As Object, e As EventArgs) Handles Me.Load
        CreateGrid()
        FormatGrid()
        SetDataSource()
    End Sub

    Private Sub CreateGrid()
        Try
            RadGridView1 = New RadGridView
            Me.Controls.Add(RadGridView1)
        Catch ex As Exception
            MessageBox.Show(Me, ex.Message)
        End Try
    End Sub
    Private Sub FormatGrid()

        Dim col As GridViewTextBoxColumn
        With RadGridView1
            col = New GridViewTextBoxColumn
            With col
                .FieldName = "FieldID"
                'NOTE: Comment out NullValue = "" to prevent the unhandled exception
                .NullValue = ""
            End With
            .Columns.Add(col)
        End With
    End Sub
    Private Sub SetDataSource()
        Dim table As DataTable = Nothing
        Dim row As DataRow = Nothing
        table = New DataTable("GridList")
        table.Columns.Add("FieldID", GetType(System.Guid))
        row = table.NewRow
        row("FieldID") = Guid.Empty
        table.Rows.Add(row)
        RadGridView1.DataSource = table
    End Sub
End Class

Workaround:
Comment this line 
NullValue = ""