I think if you set
this.gridDataBoundGrid1.ActivateCurrentCellBehavior = GridCellActivateAction.SetCurrent;
you can avoid this problem. If you do not want to use this SetCurrent property, then you can try handling grid.KeyDown.
private void gridDataBoundGrid1_KeyDown(object sender, KeyEventArgs e)
{
GridCurrentCell cc = this.gridDataBoundGrid1.CurrentCell;
if(!cc.IsEditing)
cc.BeginEdit();
}