Even though you are calling back to the server, the whole page is not processed and sent back to the client. Thus, changes you make to controls server-side will not be reflected client-side.
Controls like the GridView uses callbacks in order to do some processing on the server while not incurring a full postback. Think of it as a form of AJAX. The GridView, upon receiving the string response you mention, is responsible for interpreting the string and updating its own state client-side using javascript.
Clarification: as described here:
the page...runs an abbreviated
version of its normal life cycle to
process the callback
so no, ASP.Net will not do a full page lifecycle, and no, no html will be returned to the client. Unless you return some html yourself in the GetCallbackResult
method.
Idea: instead of doing callbackeventhandlers, take a look at JQuery with ASP.Net AJAX and more on the state of things here. This would enable your scenario with much of the plumbing already in place done by Microsoft.