Normally, the Kendo UI DropDownList icon cannot be focused, and the dropdown itself opens with Alt + Down Arrow, when the widget is focused. If you are opening it with Space, you have probably made some special customizations.
In addition, when the DropDownList is open and you hit Shift + Tab or Escape, the dropdown should close and the focus should remain on the DropDownList widget.
You can verify all of the above on the following demo:
By design, a lot of Grid elements have a negative tabindex or an unselectable HTML attribute, which prevent them from being focused during tabbing. If you want to use keyboard navigation with the Grid, then enable the .Navigatable() option and follow the instructions in the following demo:
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