The Page_Load event is going to fire even on a callback in the DevExpress paradigm.

That kinda makes my head want to explode, but it is what it is. The page will not postback, and yet the Page_Load event will rerun. If you are using the Page_Load event to set up controls which then affect an ASPxGridView and you want to set up the controls in the Page_Load event but not reset the controls on every callback, pehaps you should call a callback on the ASPxGridView itself and not a callback on a ASPxCallbackPanel wrapping everything.