Hi,
Well... I don't see any way you could do this at design-time. At design-time, when you look at a control on a form with a ContextMenu, that control appears to have a ContextMenu property. But this is really an illusion. The ContextMenu provides this property to the control. So since your child forms won't have a ContextMenu on them, the grid won't have the property.
At run-time there must be a SetContextMenu method on the ContextMenu. Or if you are using UltraToolBars, there's a SetContextMenuUltra method on the UltraToolbarsManager component. You could try calling this method and passing in the grid on the child form at run-time and see if it works. I'm not sure it will, but I can't see any reason why it would not work.