Generally RadGridView has two validation layers UI and Data. IDataErrorInfo is used by data layer validation and RadGridView's role here is just to update underlying value via binding at the right moment. Error validation template comes from WPF framework. Unfortunately the default WPF validation (error) template is a thin red line around the control. Good news about WPF is that you can easily restyle any control (also validation error template). You can take a look at following posts about how you can change validation error template.
If you want to use GridViewCellValidatingEventArgs.ErrorMessage you have to use UI validation, after all IDataErrorInfo implementation logic also can be implemented within RadGridView.CellValidating event handler. You can take a look at my blog post
in case you missed it for more information about cell validation.
I hope this will help.
the Telerik team
Do you want to have your say when we set our development plans?
Do you want to know when a feature you care about is added or when a bug fixed?
Telerik Public Issue Tracking
system and vote to affect the priority of the items.