One way you can do this is to handle the ClearingCells event and remove the row there.
private void gridControl1_ClearingCells(object sender, GridClearingCellsEventArgs e)
{
GridRangeInfo range = e.RangeList.ActiveRange;
if(range.IsRows)
{
this.gridControl1.Rows.RemoveRange(range.Top, range.Bottom);
e.Handled = true;
e.Result = true;
}
}