In attached demo project I have GridMultiColumnDropDownList with AllowNullInput="False", but it is not working as expected. CityID can be still set to null (e.g. by deleting GridMultiColumnDropDownList value and pressing enter).
When I tried to solve this using CurrentCellValidating event I found out that e.NewValue always contains the old value even if null is set after validation.
I think there are two bugs - AllowNullInput not working as expected and validation of null values is not possible.