I have a grid containing a Start Date, an End Date, and a notes column. For testing purposes, I added custom validation to check that the notes begins with an upper case letter, and it works just fine in all cases. I added validation to the start date to make sure that the start date doesn't start after the end date, and vice versa for the end date.
The validation for these fields will show properly if I immediately select an invalid value. However, if I select a valid value, and then select an invalid value, the validation message does not show. The editor will not let me move away from the field until it is valid, so that piece is working - it just does not show the message.