There seems to be an Internet Explorer related bug in combination with some of the RadGrid Skins. If there is a border around the selected row (ie Gray, Telerik), any cell which is empty won't get any border. The Css is fine, everything is ok, only IE doesn't render it...
I encountered this in combination with a edit / delete column where the delete button / text gets invisible in editmode.
It's working in every other browser i tested. My workaround at the moment is to set the delete column to visible = false if the row is in edit mode but maybe there is some better solution to this. I tried to set the GridDeleteColumn.Text to but whitout success.