Managed it with some javascript trickery:
var pages = [];
onSelectRow: function(rowid, status) {
var pageId = $('#grdApplications').getGridParam('page');
var selRows = [];
if (status) {
//item selected, add index to array
if (pages[pageId] == null) {
pages[pageId] = [];
}
selRows = pages[pageId];
if (selRows.indexOf(rowid) == -1)
{ selRows.push(rowid); }
}
else {
//item deselected, remove from array
selRows = pages[pageId];
var index = selRows.indexOf(rowid)
if (index != -1) {
pages[pageId].splice(index, 1);
}
}
},
loadComplete: function() {
if (pages[$('#grdApplications').getGridParam('page')] != null) {
var selRows = pages[$('#grdApplications').getGridParam('page')];
var i;
var limit = selRows.length;
for (i = 0; i < limit; i++) {
$('#grdApplications').setSelection(selRows[i], true);
}
}
},