This is an unfortunate side effect of Microsoft changing the assembly version numbers from 2.0.5 to 5.0.5 (this is the first time they have done this). So basically what happens is that when the FeatureDataGrid tries to find the base DataGrid control, it can't find it, because it can't find v2.0.5 (which is the assembly version used in Silverlight 2 through 4).
One way to work around this is to reference the SL4 version of the assemblies used by DataGrid (System.Windows.Controls.Data and a couple more I think). This works, but you wont get any enhancements in those assemblies that were updated in SL5 (but that's probably only minor stuff, if any). Leave the core reference assemblies at SL5 versions though - for some reason those doesn't pose a problem.
v3.0 will be released on SL5, so you won't have to deal with this in the future version.