Grid tiles are marked as obstacles if nodes intersect them, and here the linked nodes get too close to each other making all of the link lie on marked tiles. This prevents GridRouter from finding a path and the control just resets the link to a default path. We'll implement some special handling for that case in next few days; until it's available you could try setting a smaller GridSize in RoutingOptions.

Regards,
Slavcho
Mindfusion