I have tested this with a new grid and if the user does not enter data no new row is added and the focus is moved to the next control (see attached). This is why I would suggest opening a new support ticket and attaching your project. This will allow us to properly investigate the case and provide you with a solution.
In general to customize the Tab behavior you need a custom GridNewRowBehavior
which will allow you to override the method that processes this key. Here is an example:
BaseGridBehavior gridBehavior =
CustoGridNewRowBehavior : GridNewRowBehavior
Should you have any other questions do not hesitate to ask.
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