Usando aliases de coluna no campo Grade de Pedidos de Vendas

public function setCollection($collection){
    parent::setCollection($collection);
    $collection->getSelect()->join(
        array('address_shipping' => $collection->getTable("sales/order_address")),
        'main_table.entity_id = address_shipping.parent_id AND address_shipping.address_type = "shipping"',
        array('address_shipping.postcode as shippingpostcode')
    );

    $collection->getSelect()->join(
        array('address_billing' => $collection->getTable("sales/order_address")),
        'main_table.entity_id = address_billing.parent_id AND address_billing.address_type = "billing"',
        array('address_billing.postcode as billingpostcode')
    );
}

protected function _prepareColumns(){
     $this->addColumn('shippingpostcode', array(
        'header' => Mage::helper('sales')->__('Shipping Postcode'),
        'index' => 'shippingpostcode',
        'filter_index' => 'address_shipping.postcode'
     ));

    $this->addColumn('billingpostcode', array(
        'header' => Mage::helper('sales')->__('Billing Postcode'),
        'index' => 'billingpostcode',
        'filter_index' => 'address_billing.postcode'  
    ));

return parent::_prepareColumns();

}