This is by design. When an actively editing cell gets clicked, it is not the grid that get the click, but is the active cell control that gets the click.
Here is a sample that I think will catch both cases, the grid getting the click and the cell control getting the click. It uses the grid_MouseUp event to handle all right clicks that the grid catches (which include the checkbox case), and dynamically hooks the cellcontrol_MouseUp in CurrentCellControlGotFocus and unhooks it in CurrentCellControlLostFocus to catch the active cell control's clicks.