With the adoption of PJax on Yii2 things have change quite a bit with GridView when it comes to work with them in AJAX mode. It will probably be confusing at the beginning, but then you will soon realize how powerful the new approach is.
The CGridView widget is very useful and customizable, but sometimes you need a little more.
One limit I found is to have only one row for headers; yes, you can write each column header in more than one row, but just inside the single cell.
I was looking instead for the possibility to use more than one row, with different structure one from the others.
This way you can write columns grouping headers, and obtain a nicer view.