The GridComboBoxCellRenderer has a DropDownContainer.CloseUp event that you can catch. To hook it, at the bottom of your Form_Load event, get a reference to the combobox cell renderer, and then use that to subscribe to this event.
private void Form1_Load(object sender, System.EventArgs e)
{
....
....
GridComboBoxCellRenderer cbb = (GridComboBoxCellRenderer) this.gridControl1.CellRenderers["ComboBox"];
cbb.DropDownContainer.CloseUp += new PopupClosedEventHandler(ComboBoxClosed);
}
private void ComboBoxClosed(object sender, PopupClosedEventArgs e)
{
Console.WriteLine("ComboBoxClosed");
}