If you have this property set so the cell is active when it become current,
this.gridDataBoundGrid1.ActivateCurrentCellBehavior = GridCellActivateAction.SetCurrent;
then you can catch an Esc on the AddNewRow by handling this event.
private void gridDataBoundGrid1_CurrentCellControlKeyMessage(object sender, GridCurrentCellControlKeyMessageEventArgs e)
{
Keys keyCode = (Keys)((int)e.Msg.WParam) & Keys.KeyCode;
if(keyCode == Keys.Escape && this.gridDataBoundGrid1.Binder.IsAddNew)
Console.WriteLine("Escape on addnew row");
}