I believe adding the URL parameters to the function: DataGrid :: SetHttpGetVars() will do the job.
Before the call to to $dgrid->Bind(); add:

$dgrid->SetHttpGetVars(array('option', 'Itemid'));

Off Topic: I must add however that there is an XSS injection vulnerability in the DataGrid code that handles this. You have to take that up with the developers. On line 3602:

echo "<input type='hidden' name='".$key."' id='".$key."' value='".((isset($_REQUEST[$key]))?$_REQUEST[$key]:"")."'>";

Should be changed to:

echo "<input type='hidden' name='".$key."' id='".$key."' value='".((isset($_REQUEST[$key]))?htmlentities($_REQUEST[$key], ENT_QUOTES, 'UTF-8'):"")."'>";

line 3636:

$a_url .= $key."=".((isset($_REQUEST[$key]))?$_REQUEST[$key]:"");

should be changed to:

$a_url .= $key."=".((isset($_REQUEST[$key]))?htmlentities($_REQUEST[$key], ENT_QUOTES, 'UTF-8'):"");

or similar code to convert HTML to corresponding HTML entities.