You need to loop through all the nested tables, deleting any selected records. Try this code:
private void button1_Click(object sender, System.EventArgs e)
{
foreach(GridTable gt in this.gridGroupingControl1.Engine.EnumerateTables())
{
foreach(SelectedRecord r in gt.SelectedRecords)
{
Console.WriteLine("SelectedRecord");
r.Record.Delete();
}
}
}