I've created a grid with a checkbox type in the first column. I then added a button elsewhere on the form that has an ASYNC event. In that ASYNC event, I report back the selected rows. However, the selections do not register (there appear to be no selections) unless I change pages first. If I do the same process with a full postback, there is no problem.
I have not been able to reproduce this issue.
Are you using grid.RowSelect[RowIndex] to retrieve the selected rows?
If the problem persists, please provide a ready to run sample project (through mailto:firstname.lastname@example.org) that demonstrates the issue so I can further investigate this issue.