The CustomBinding action is called when the whole page is loaded or refreshed, then showing on the grid the default data, e.g. the first page. This action should return a view with the model object (IEnumerable<Order> in this example).
The _CustomBinding action is called from an AJAX call when the user clicks on the grid controls, like page number, sort, or filter. This action should return a view with a GridModel object and not with the view model (IEnumerable<Order>). If you do not use a GridModel object, then you will get the JavaScript syntax error char 4048 in telerik.grid.min.js.

Although the Telerik example is right, when I wrote my code based on it, I mistakenly used the wrong model object, and couldn't figure out what was wrong. Thanks for this forum post that enlighted me of what was going on.