Try handling the TableControlCurrentCellKeyDown event.
private void gridGroupingControl1_TableControlCurrentCellKeyDown(object sender, GridTableControlKeyEventArgs e)
{
if(e.Inner.KeyCode == Keys.Delete)
{
Record rec = e.TableControl.Table.CurrentRecord;
if(rec != null)
{
int i = e.TableControl.Table.FilteredRecords.IndexOf(rec);
if(i > 0)
{
e.TableControl.Table.CurrentRecord = e.TableControl.Table.FilteredRecords[i-1];
e.TableControl.Table.CurrentRecord.SetSelected(true);
}
rec.Delete();
e.Inner.Handled = true;
}
}
}