The mistery then is how it got to the docs ... back to the future?
Yes. Maybe the docs is for v2.0?
Well, they are the standard docs included with the 1.8.4 distribution. It's quite a curious thing: the source doc
dbgrids.xml, dated 2015-01-28, does
not mention OnDrawColumnTitle. It looks like the package maintainer (or whoever generated the docs) wasn't using the release revision.
At lest I learned my lesson: don't trust the docs and always check the source.