Controlling multiple LEDs down to 0.25mA
Why?
Who has the eye or even a light sensor that can discriminate between 2µA and 6µA? 
Or between 25 an 24.99975mA

The chip current output error is spec'd at typical ±2% error up to ±7% error.

Is IADJ trimmed down to no more than 25mA?. Might try raising the Iref resistor value.

Is the tolerance and stability of the resistor good enough to hold Iref steady and accurate? 

Did you follow the Layout Guidelines? 

Is there noise on the Iref pin?

Is the temperate of the chip cool?



I have some drivers with 1000:1 and no one can see the difference 1 step at a time. 

There should be no problem turning the LEDs off i.e. GS = 0x000.

I do not understand why anyone would need this type of dimming resolution.