If you want every control in teh grid to have an empty contextmenu, you could try subscribing to the grid.ControlAdded event and setting the context menus there.
this.gridControl1.ControlAdded += new ControlEventHandler(gridControl1_ControlAdded);
private void gridControl1_ControlAdded(object sender, ControlEventArgs e)
{
e.Control.ContextMenu = new ContextMenu();
}