By default, the up and down arrows move through the same band. If you want to move across bands you can use Tab or Shift+Tab.
If you want to change the behavior of the up and down arrow to match tab and shift+tab, you could modify the KeyActionMappings in the grid. You would need to look for the BelowRow and AboveRow actions and replace these with NextRowByTab and PrevRowByTab respectively. You could also do the same thing in the BeforePerformAction event.
Thanks I used BeforePerformAction.
If e.UltraGridAction = UltraGridAction.BelowRow Then
e.Cancel = True
grid.PerformAction(UltraGridAction.NextRowByTab)
It now works.