In mojoPortal we use the connection string from the appSettings section of Web.config and DataGrids or DataSourceControls don't know about this connection string. You would probably need to add a ConnectionStrings section and add a named connection string for it to find it.
In mojoPortal we use a 3 layer model where the UI code talks to a business object to get its data and the business object talks to the data service layer. For professional quality features I recommend you follow this same pattern and look at how grids are populated in existing features. MS makes it easy for you to not follow best practices by creating things like SqlDataSourceControl that connects the UI directly to the database. I mean its ok for quick and dirty projects I suppose, but using Codesmith templates I can usually put something together just as quick that does follow best practices so hooking up data directly in the UI makes me feel dirty ;-). Still if you are happy with that approach nothing stops you from doing it.
Hope it helps,