Hi you can resolve this problem with the property ViewState of .NetFrameWork, you can create a datatable and Save in the ViewState Property

First initialize the datatable only in the first postback of ther form:

Dim dt As New DataTable()

dt.Columns.Add(New DataColumn(<KeyOfDatasource>, GetType(Decimal)))

dt.Columns.Add(New DataColumn(<state of checkbox>, GetType(Boolean)))
For Each row As GridRecord In webdatagrid.Rows
Dim dr As DataRow = Nothing
dr = dt.NewRow()
dr("IdFact") = If(IsDBNull(row.Items(1).Value), "", Trim(row.Items(1).Value))
dr("Estado") = False
dt.Rows.Add(dr)
Next
'Store the DataTable in ViewState
ViewState("CurrentTable") = dt

then you can add a client event in the aspx form:

function webdatagrid_Editing_CellValueChanged(sender, eventArgs) {
///<summary>
///
///</summary>
///<param name="sender" type="Infragistics.Web.UI.WebDataGrid"></param>
///<param name="eventArgs" type="Infragistics.Web.UI.CellValueChangedEventArgs"></param>

if (eventArgs.get_cell().get_column().get_key() == "UnboundCheckBoxField_0") {
var callbackObj = sender._callbackManager.createCallbackObject();
sender._callbackManager.execute(callbackObj);
}

}// -->

then in ther server side create a rowupdated event and then you save the new status of the checkbox edited by the user:

Protected Sub webdatagrid_RowUpdated(sender As Object, e As RowUpdatedEventArgs) Handles webdatagrid.RowUpdated
Dim dt As DataTable
dt = DirectCast(ViewState("CurrentTable"), DataTable)
For Each row As GridRecord In wdgFacturas.Rows
dt.Rows(row.Index)(<State of Checkbox>) = row.Items(0).Value 'cell with the value edited by the user
Next
ViewState("CurrentTable") = dt

End Sub

Then you need create other event for example RowSelectionChanged

Protected Sub webdatagrid_RowSelectionChanged(sender As Object, e As SelectedRowEventArgs) Handles webdatagrid.RowSelectionChanged

Dim dt As DataTable
dt = DirectCast(ViewState("CurrentTable"), DataTable)
For Each row As GridRecord In wdgFacturas.Rows
dt.Rows(row.Index)(<state of checkbox>) = row.Items(0).Value
Next
ViewState("CurrentTable") = dt

sbSeteaEstadoCheckBox() ' HERE CALL A METOD FOR INITIALIZATE THE CHECKBOX ROWS IN THE DATAGRID

end sub

AND CREATE THE METOD TO INITIALIZE THE VALUES 

Private Sub sbSeteaEstadoCheckBox()
Try
Dim dt As DataTable
dt = DirectCast(ViewState("CurrentTable"), DataTable)
Dim nose As Integer = 0
For Each row As GridRecord In webdatagrid.Rows
row.Items(0).Value = dt.Rows(row.Index)(<state of checkbox>)
nose += 1
Next
Dim testing = 0
Catch ex As Exception

End Try
End Sub

With this you save in a view state datatable the selections of the user and then you pass this values on every row selection change