I was trying to declare as follows so it will capture all exceptions thrown in the underlying object on binding.
How to do it in xamdatagrid?
Also is it possible to use different style & action for different fields in that scenario OR common for all fields & different for error when row focus is changed.

I was able to do for XamTextEditor.

<igxPresenter:XamDataGrid Margin="0,0,0,48" Name="xamDataGrid1" DataSource="{Binding}">
<Binding.ValidationRules>
                    <ExceptionValidationRule/>
                </Binding.ValidationRules>
</igxPresenter:XamDataGrid>