Indeed validation logic by default returns focus to the first "wrong" cell of the edited row. You could override this behavior by using ValidatesOnDataErrors property (by default its value is InViewMode || InEditMode), which means that validation will be performed on every level. I think you will be satisfied by the result if you change ValidatesOnDataErrors property to InViewMode. This will allow you to exit edit mode, but cell will be marked as invalid in case there is an error returned by IDataErrorInfo interface (and of course if your item implements INotifyPropertyChanged also). This property could be set both on grid and on column level.
Let me know if this doesn't help.
All the best,
the Telerik team
Browse the videos here>>
to help you get started with RadControls for WPF