Apparently there is a trick, in the header I am not binding against a data object from my dataview. Instead I am binding against PropertyGroupDescription object. So instead of binding to TipoBienes_ID I had to Bind to the PropertyGroupDescription.name property like this:
<combobox.groupstyle>
<groupstyle>
<groupstyle.headertemplate>
<datatemplate>
<textbox text="{Binding Path =Name}" background="AliceBlue"></textbox>
</datatemplate>
</groupstyle.headertemplate>
</groupstyle>
</combobox.groupstyle>