I am browsing MS SQL Server dynasets. When I am using CGXDynamicRecordset and add new rows, I get an assertion. Is this is a known problem?

Yes, there is a Microsoft Knowledge Base article:

PSS ID Number: Q135666
SYMPTOMS
========
 
Using the MFC database classes with the Microsoft SQL Server ODBC driver versions 2.50.0121 or 2.50.0126 may cause an assertion failure after a call to SQLNumResultCols() in the CFieldExchange::GetColumnType() function.
....

Solution:

The new ODBC driver, coming with the SQL Server 6.5 must be used to avoid the problem. Another workaround is using dynasets instead of snapshots for your CGXDynamicRecordset. The variable m_nDefaultType needs to be modified to do this.