Sorry, I found it myself. But maybe it''ll help somebody else...
The solution is to add following code to onScroll event:
private void dataGrid1_Scroll(object sender, System.EventArgs e)
Please help me with this:
When scrolling datagrid with mousewheel and another object is on the form (f.e. button), datagrid lost focus when the selected cell is out of displayed area in datagrid - so the scrolling is disabled.