I fixed it... In the sample code (with no image list) they do itemCol.SetImage(-1) for the list items. With that, the column headings would only show up in the default positions/sizes and WHILE sizing... However, with an xp theme enabled the text simply never showed up. The default "image" is 0, and doing itemCol.SetImage(0) or leaving it alone fixed the entire problem. So yeah, -1 is not really a good value... At least on windows xp SP2 with the latest cvs of wxwidgets. Though noone replied to this post, thought i'd share my solution for everyone to gain from.
Edit: upon further investigation, making _any_ call to SetImage (even zero) will break the column headings. So, if you have no image list, DONT call SetImage.