I believe that we are facing a similar issue. If you look at the sample code (in C#) posted on the following thread, you will see that cascading comboboxes work quite well in EDIT mode.
Like you, we discovered that the sample code does not work when in INSERT mode. With much hope and anticipation, I tried out the suggestion from this thread. Sadly, attaching the event handler this way makes no difference.
My tests (using C#) have shown the event handler will be attached and fire using either set of conditions (converted to VB for this post):
If (TypeOf e.Item Is GridEditableItem AndAlso e.Item.IsInEditMode) Then
If (TypeOf e.Item Is GridEditFormInsertItem AndAlso e.Item.OwnerTableView.IsItemInserted) Then
When stepping through the code, I find the problem relates to databinding within the event handler, not when/how the event handler is attached. When DataBind is called on the combobox in the OnSelectedIndexChanged event handler AFTER the DataSource has been assigned to the correct values from the database, the DataSource reverts to the previous values. The cascade effect occurs, but it is one cycle behind the user selection and subsequent data access.
For example, the page loads with United States selected as the Country and the State combobox listing the correct values for the United States. First, we select Canada as the new Country. The event handler fires, the correct data is retreived from the database, databind is called and yet the State combobox still shows data from the United States. Second, when we select Mexico as the new Country, the Canadian states/provinces finally show up in the State combobox.
We have experimented with several "interpretations" of the sample code and have not found a solution to this issue yet.