I don't think there is any built-in option for this. But I wonder if you could do it by hooking some event of the dialog. I assume you are using the grid's built-in ColumnChooser. You could handle the ultraGrid1_BeforeColumnChooserDisplayed of the grid. This event gives you a reference to the column choser dialog. I tried this out and this seems to work: 

private void ultraGrid1_BeforeColumnChooserDisplayed(object sender, BeforeColumnChooserDisplayedEventArgs e)
        {
            e.Dialog.KeyPreview = true;           
            e.Dialog.KeyDown += new KeyEventHandler(ColumnChooserDialog_KeyDown);
            e.Dialog.Closed += new EventHandler(Dialog_Closed);
        }

        void ColumnChooserDialog_KeyDown(object sender, KeyEventArgs e)
        {
            if (e.KeyCode == Keys.Escape)
            {
                ((Form)sender).Close();
            }
        }

        void Dialog_Closed(object sender, EventArgs e)
        {
            ((Form)sender).KeyDown -= new KeyEventHandler(ColumnChooserDialog_KeyDown);
        }