The xam data grid will add the record to your datasource directly once you start typing into the AddNewRecord.  So, in order to check for duplicate values, we will have to handle the RecordUpdating event and make our checks there.  You will see what I did in the code snippet below.  If I find the values for both firstname and lastname, I select the record and then execute the DeleteSelectedRecords command on the grid.  Then, in the recordsDeleting event, I turn off the prompt message so you don't see it when the behind the scenes deletion occurs.  I hope this works for you.

private void xamDataGrid1_RecordUpdating(object sender, Infragistics.Windows.DataPresenter.Events.RecordUpdatingEventArgs e)
        {
            BindingList<Person> people = this.xamDataGrid1.DataSource as BindingList<Person>;
            string firstName = e.Record.Cells["FirstName"].Value.ToString();
            string lastName = e.Record.Cells["LastName"].Value.ToString();
            bool hasFirstName = people.Count(p=>p.FirstName == firstName) > 1 ? true : false;
            bool hasLastName = people.Count(p=>p.LastName == lastName) > 1 ? true : false;
            if (hasFirstName && hasLastName)
            {
                e.Record.IsSelected = true;
                this.xamDataGrid1.ExecuteCommand(DataPresenterCommands.DeleteSelectedDataRecords);
            }
        }

        private void xamDataGrid1_RecordsDeleting(object sender, Infragistics.Windows.DataPresenter.Events.RecordsDeletingEventArgs e)
        {
            e.DisplayPromptMessage = false;
        }