Hi Joe,
I tested this out using Firefox version 3.0.8 and was unable to replicate your situation.
In the grid wizard, I added a column in step 2, set column Width to 0 %, inserted the column and then went into the advanced option for that column and checked 'Hidden when screen first loads?'. I then published the screen and everything worked great. When the screen loaded the column was hidden, then I clicked on the grid's little tool icon and checked that column so that it showed in the grid and updated the settings and I was then able to see the column.
Please let me know if you did anything different, so I can try it out and see if I can replicate you scenario. Also what version of Firefox are you using?