To do this you should use gbox_mygrid id , where mygrid is your table id. Also the grid is enclosed in couple of divs, where gbox_mygrid is the main one.
It is not a bug, it is a way that request is send to the server. Also please first read the docs how to sanitize such things, by example there is a option autoencode.
Never try this, but you can use subGridBeforeExpand event to get the names from subgrid model, change the texts and make setGridParam again. Not good solution, but it should work. Also do not forget that this event should return true or false.
