I couldn't use IBindingList since its abstract (an interface really).   I used BindingList<String>.

 When I clicked in the "add template row" (If that is what it is called.  The row at the bottom where you can type to insert a new reow) and got the message.

Hm. I tried this out and I get the same results. This message doesn't come from the grid, it comes from the DotNet BindingManager. For some reason, BindingList doesn't support adding new items to the list.

I think this might be because you are using strings. I tried a simple test like so: 

BindingList<string> strings = new BindingList<string>();
IBindingList bl = (IBindingList)strings;
bl.AddNew();

With this code, I get an error that there is no Constrcutor on type 'System.String'. So it looks like the generic BindingList can't create a new string. So you will probably need to create a class with a string property and use that rather than a list of actual strings.

I found another way around this. Since the default IBindingList implementation of BindingList can't create a new string, you could derive a class from BindingList<string> and override AddNewCore and return a new string yourself.

public class MyStrings : BindingList<string>
    {
        protected override object AddNewCore()
        {
            string s = string.Empty;
            return s;           
        }
    }

There are probably other methods that you would need to override, also. So using a class with a string property might be easier.