This is expected behavior as when the Grid has fewer records and it is not scrollable, the arrow keys will scroll the page. The can be observed by pressing the keys over any non-scrollable container.
In this case, we can suggest preventing the default behavior when these keys are pressed. This will not scroll the scrollable Grid as well, and we can use additional logic to focus the selected rows.
This can be done by adding a tab index to the rows using rowRender and focusing the selected row on componentDidUpdate:
I updated the example to showcase this:
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