I think that the grid must be catching the enter key and not passing it onto the embedded textbox control.
You can catch this enter key without using columnstyles by deriving the DataGrid and overriding ProcessKeyPreview.
Public Class MyDataGrid
Inherits DataGrid
Private Const WM_KEYDOWN As Integer = &H100
Private Const WM_KEYUP As Integer = &H101
Protected Overrides Function ProcessKeyPreview(ByRef m As System.Windows.Forms.Message) As Boolean
Dim keyCode As Keys = CType(m.WParam.ToInt32(), Keys) And Keys.KeyCode
If m.Msg = WM_KEYDOWN OrElse m.Msg = WM_KEYUP AndAlso keyCode = Keys.Enter Then
Console.WriteLine("grid Keys.Enter")
' return false; 'ignore
End If
Return True
End Function 'ProcessKeyPreview
End Class 'MyDataGrid