Tooltips do not appear for header rows and columns when the text is set with SetCols/SetRows.
When attributes like tooltip text are set for the whole column or row they will not be taken into account for the header rows and columns. The reason for this is that applying a style to a column or row only affects the cells and not the headers.
If you wish to specify tooltips for header cells use explicit coordinates.
Example:
SetStyleRange(CGXRange(0,2), CGXStyle()
.SetUserAttribute(GX_IDS_UA_TOOLTIPTEXT, _T("Column 2")));