Don't know why, I got the error:
Value cannot be null.
Parameter name: UltraGridDesignerDialog constructor - null grid parameter.
This sounds to me like you have mixed references in your project. Check your project references and make sure all of the Infragistics references are the same version and that none of them are set to CopyLocal = true.
Also, this might be a problem with the toolbox. Try removing the grid from the toolbox and then re-add it and see if that helps.