Ok, in order to try to find an answer for this question I have made an even simpler project, using the AdventureWorks database.
I created a Model from the Vendor and
If the PurchaseOrderHeaders collection property in your Vendor class is of type ICollection<T> then this could be source of your problem. To get a datagrid which allows editing the source collection must be of type IList<T> or any type which implements IList<T> like List<T> or ObservableCollection<T>. You will probably need to change the collection type of PurchaseOrderHeaders in your model class accordingly.
More detailed explanation is here: Getting Readonly Databind using EF POCO Objects
Edit
According to @Allon Guralnek's comment below it is necessary to implement the non-generic IList interface to get an editable DataGrid. This is the case for ObservableCollection<T> and List<T>. Other implementations which only implement the generic IList<T> but not the non-generic IList won't make the DataGrid editable.