Most of the feedback emails I recieved during the last two weeks asked for guidance on using HierarGrid.TemplateDataMode=Table. This flag can be used to nest a DataGrid or another HierarGrid inside the child template.
Therefore, I extended the HierarGridDemo by another page called NestHierarGridDemo.aspx that shows how to build 3 layers of grids. You can view and download the demo here (sourcode available in VB.NET and C#).