There is an exception being raised in the situation you described that is causing the message to fail to appear. We will look into how to handle this issue in our code.
Until we do, I think you can get the message to display by handling TableCOntrolCurrentCellMovedFailed, and displaying it there yourself.
private void gridGroupingControl1_TableControlCurrentCellMoveFailed(object sender, GridTableControlCurrentCellMoveFailedEventArgs e)
{
e.TableControl.CurrentCell.Lock();
MessageBox.Show("Cannot move");
e.TableControl.CurrentCell.Unlock();
e.TableControl.CurrentCell.ErrorMessage = "";
}