The code below is what I did to partially solve this problem. DataAccess.DeleteRow is a method that deletes the row from the database and the dataset that is bound to the grid. 

I thinki that if Inragistics spent more time making their existing code do what it should do, instead of adding features, we wouldn't need hacks like this. 

            void M3EditableGrid_BeforeRowsDeleted(object sender, BeforeRowsDeletedEventArgs e)

            {

                  UltraGridRow[ rows = e.Rows;

                  if (rows.Length > 0 && RemoveButton != null)

                  {

                        foreach (UltraGridRow row in rows)

                        {

                              if (row.HasPrevSibling())

                                    _previousRow = row.GetSibling(SiblingRow.Previous);

                              else

                                    _previousRow = row.ParentRow;

                              DataAccess.DeleteRow(row, (DataSet)this.DataSource);

                        }

                  }

                  else

                        e.Cancel = true;

            }

            void M3EditableGrid_AfterRowsDeleted(object sender, EventArgs e)

            {

                  if (_previousRow != null)

                  {

                        _previousRow.Activate();

                  }

                  UpdateButtons(); ;

                  this.Focus();

            }