The embedded text control used by Essential Grid is derived from RichTextBox. RichTextBox does not have a default context menu like the TextBox.
So, yes, you will have to do this yourself. You can drop a context menu on your form, add its menuitems, and then set it to the embedded textbox after the textbox has been created. Below is a snippet.
private bool setOnlyOnce = true;
private void gridDataBoundGrid1_CurrentCellStartEditing(object sender, System.ComponentModel.CancelEventArgs e)
{
GridTextBoxControl tb = (GridTextBoxControl)this.gridDataBoundGrid1.CellRenderers["TextBox"].Control;
if(tb != null && setOnlyOnce)
{
tb.ContextMenu = this.contextMenu1;
setOnlyOnce = false;
}
}