Similar to this post, I’ve made small example on how to load on demand RadGridView for Silverlight three level hierarchy using MVVM and OData service:
 

XAML

<telerik:RadGridView ItemsSource="{Binding CustomersCollection}" AutoGenerateColumns="False">
    <telerik:RadGridView.Columns>
        …
    </telerik:RadGridView.Columns>
    <telerik:RadGridView.ChildTableDefinitions>
        <telerik:GridViewTableDefinition />
    </telerik:RadGridView.ChildTableDefinitions>
    <telerik:RadGridView.HierarchyChildTemplate>
        <DataTemplate>
            <telerik:RadGridView ItemsSource="{Binding OrdersCollection}" AutoGenerateColumns="False">
                <telerik:RadGridView.Columns>
                    …
                </telerik:RadGridView.Columns>
                <telerik:RadGridView.ChildTableDefinitions>
                    <telerik:GridViewTableDefinition />
                </telerik:RadGridView.ChildTableDefinitions>
                <telerik:RadGridView.HierarchyChildTemplate>
                    <DataTemplate>
                        <telerik:RadGridView ItemsSource="{Binding OrderDetailsCollection}" AutoGenerateColumns="False">
                            <telerik:RadGridView.Columns>
                                …

                            </telerik:RadGridView.Columns>
                        </telerik:RadGridView>
                    </DataTemplate>
                </telerik:RadGridView.HierarchyChildTemplate>
            </telerik:RadGridView>
        </DataTemplate>
    </telerik:RadGridView.HierarchyChildTemplate>
</telerik:RadGridView>

C#

public partial class MainPage : UserControl
{
    public MainPage()
    {
        InitializeComponent();

        DataContext = new NorthwindEntities();
    }
}    

I’ve used again partial classes to extend generated code for the service reference:

C#

public partial class NorthwindEntities
{
    public NorthwindEntities()
        : base(new Uri("http://services.odata.org/Northwind/Northwind.svc"))
    {
        //
    }

    DataServiceCollection<Customer> _CustomersCollection;
    public DataServiceCollection<Customer> CustomersCollection
    {
        get
        {
            if (_CustomersCollection == null)
            {
                _CustomersCollection = new DataServiceCollection<Customer>(this);
                _CustomersCollection.CollectionChanged += (s, e) =>
                {
                    if (e.Action == System.Collections.Specialized.NotifyCollectionChangedAction.Add)
                    {
                        foreach (var c in e.NewItems.OfType<Customer>())
                        {
                            c.Context = this;
                        }
                    }
                    else if (e.Action == System.Collections.Specialized.NotifyCollectionChangedAction.Remove)
                    {
                        foreach (var c in e.OldItems.OfType<Customer>())
                        {
                            c.Context = null;
                        }
                    }
                };
                _CustomersCollection.LoadAsync(this.Customers);
            }
            return _CustomersCollection;
        }
    }
}

and as you can see I’ve passed the context itself to the entities in order to create queries for child data:
C#

public partial class Customer
{
    public Customer()
    {
        _Orders = null;
    }

    internal NorthwindEntities Context { get; set; }

    public DataServiceCollection<Order> OrdersCollection
    {
        get
        {
            if (_Orders == null && Context != null)
            {
                _Orders = new DataServiceCollection<Order>(Context);
                _Orders.CollectionChanged += (s, e) =>
                {
                    if (e.Action == System.Collections.Specialized.NotifyCollectionChangedAction.Add)
                    {
                        foreach (var c in e.NewItems.OfType<Order>())
                        {
                            c.Context = this.Context;
                        }
                    }
                    else if (e.Action == System.Collections.Specialized.NotifyCollectionChangedAction.Remove)
                    {
                        foreach (var c in e.OldItems.OfType<Order>())
                        {
                            c.Context = null;
                        }
                    }
                };
                _Orders.LoadAsync(from o in Context.Orders
                                    where o.CustomerID == CustomerID
                                    select o);
            }
            return _Orders;
        }
    }
}