Hi,
You'll generally find that the more features a control has, the more 'heavy' it will be. As well as increasing ViewState size, heavier controls also have a greater hit on CPU load and memory requirements.
Does this matter? It really depends on what sort of load you expect your site to have. If you're coding a simple site on a dedicated box and you only have ten users or so it doesn't really matter what you use. But if you're writing something for many thousands of users and you want to squeeze all you can out of limited hardware, then the use of a GridView when you could better use a less heavy DataGrid can make all the difference.
Bear in mind that ViewState size can also be a problem in itself. ViewState can add tens of kilobytes to a page size, which doesn't seem too bad unitl you consider the impact this has with thousands of users. The monthly bandwidth that your hosting provider allows you is suddenly getting eaten up much more quickly.
Personally I always try to use the simplest control necessary to do the job, because usually that will be the most efficient way to do it.