If you want a dropdown to host a grid that itselfs hosts another dropdown, then the dropdown has to derive from GridDropDownContainer.
There is another sample that we ship that shows dropdown grid. 3.3.0.0\Windows\Grid.Windows\Samples\In Depth\DropdownGrid.
Attached is that sample modified to show a GridDataBoundGrid dropping another GridDataboundGrid with a FilterBar.
CS1.zip