The reason this is happening is the the control in the cell is derived from TextBoxBase, and this WindowsForms control does not accept Transparent colors with its default settings.
You can try directly calling Control.SetStyles through reflection to change this setting. (This method is protected, so you cannot directly call it.
GridDropDownColorUICellRenderer cr = this.gridControl1.CellRenderers["ColorEdit"] as GridDropDownColorUICellRenderer;
TextBoxBase ui = cr.TextBox;
System.Reflection.MethodInfo mInfo = typeof(Control).GetMethod("SetStyle",
System.Reflection.BindingFlags.Instance |
System.Reflection.BindingFlags.InvokeMethod |
System.Reflection.BindingFlags.NonPublic);
if(mInfo != null)
{
mInfo.Invoke(ui, new object[]{ControlStyles.SupportsTransparentBackColor, true});
}