Unfortunately there is no way to stop execution of the UI thread and CellValidating event. Actually System.Windows.MessageBox.Show() method stops the UI thread until "OK" or "Cancel" is pressed, but I cannot suggest you any good example how to use this.
By default RIA services handles such cases (async validation) via INotifyDataErrorInfo interface (fully supported by RadGridView). The common approach is user commits the edit, but Entity is not correct -> INotifyDataErrorInfo.ErrorsChanged is fired and RadGridView shows the error. So your goal should be to set an error of the entity or something like that when LoadOperation is finished.
All the best,
the Telerik team