BindingSource is null even when the DataSource has regular data

I have a DataGridView that loads data from a file. I also want to use the DropDownFilter Column - I've used the one from Karl Erickson on Microsoft. It works all good while the columns are set in the Designer Mode.

I need to set the DGV and DropDownFilter columns programmatically since I don't always want to have all the columns with Filter. The problem is that the DGV is autogenerating its column type automatically. The solution might be the DGV.AutoGenerateColumns = false, however this will throw a BindingSource error while adding new DropDownFilter column to the DGV, let me describe:

The DropDownFilter column has a property FilteringEnabled, where the following code returns null to the BindingSource data object, even when the DGV.DataSource contains relevant data:

BindingSource data = this.DataGridView.DataSource as BindingSource; You can see in the image, that the DataSource is not empty, it has its columns and data as needed: DataSource visualization

Is it possible to create the DTG with custom column type in the way I intend, or am I missing something? How can DataSource return null to BindingSource when this DataSource contains regular data?

Update 1

Minimal code to reproduce the err:
Form1.cs

// Create WinForm app, add DataGridView control and the code below

public partial class Form1 : Form
    {
        public Form1()
        {
            InitializeComponent();

            LoadToDtg();
        }

        private void LoadToDtg()
        {
            dataGridView1.AutoGenerateColumns = false;

            // Prepare DataTable columns fill with data
            DataTable dt = new DataTable();
            dt.Columns.Add("Col1");
            dt.Columns.Add("Col2");
            dt.Columns.Add("Col3");
            dt.Columns.Add("Col4");

            dt.Rows.Add("ValueA1", "ValueA2", "ValueA3", "ValuA4");
            dt.Rows.Add("ValueB1", "ValueB2", "ValueB3", "ValueB4");
            dt.Rows.Add("ValueC1", "ValueC2", "ValueC3", "ValueC4");

            // The DataSource binding could be used here too, however it yelds the same error
            //dataGridView1.DataSource = dt;

            foreach (DataColumn col in dt.Columns)
            {
                DataGridViewAutoFilterTextBoxColumn newColumn = new DataGridViewAutoFilterTextBoxColumn
                {
                    HeaderText = col.ColumnName,
                    DataPropertyName = col.ColumnName
                };

                dataGridView1.Columns.Add(newColumn);
            }

            dataGridView1.DataSource = dt;
        }
    }

The DataGridViewAutoFilterTextBoxColum refers to already mentioned project @ Microsoft page. I didn't paste it here since it has 1400+ lines of code. You can download the zip directly here