Hi Corey Fleig,
I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this! Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others ", I'll repost your solution in case you'd like to accept the answer.
Ask: Problem displaying ASP.NET GridView inside an AjaxToolkit Popup
Solution: I found out that the GridView "ShowHeaderWhenEmpty=true" works only when there is a databound!
Please feel free to contact us if you have any additional questions.
Please don’t forget to Accept Answer and Yes for "was this answer helpful" wherever the information provided helps you, this can be beneficial to other community members.