Hi Max,
I'm assuming you are using the WPF DataGrid. If so, the issues you describe above is one reason we provide the Editors.Interop.DataGrid assembly. The DataGrid can be touchy when dealing with focus and tab order. Specifically, our DataGridDoubleColumn (which uses DoubleEditBox as it's editor) will focus and forward mouse clicks from the DataGrid directly to the DoubleEditBox. Is there a reason you don't/can't use the DataGridDoubleColumn?
We don't ever set the TabIndex property on our controls, so I'm not sure where that is coming from.