Check the LinkType you set for the Detail table datasource and make sure you set Details Table to the DataSource property of the grid with details.
But what's the point of having DetailId in HeaderTable (as the latter image shows)? If there always is just one record with details, you can use Header ID directly. If you want more details for one header, you can't set a single ID to the header anyway. Let details to identify their header through Header ID.