It seems it put the tooltip next to the column you hover over. If there is only 1 column spanning the entire datagrid, this means it shows up outside the screen as the datagrid is 100% width.
If I insert a second column and split them 50/50, the tooltip shows up over the second column if I hover over the first and vice versa.
Good to know.
As far as I know this is not possible, that's because you can't change the position of the tooltip.