When I attempt to download your sample project, I get "Bad Request".
I'm attaching my sample project that shows that when the object reference being assigned to the Tag property on a cell implements IClonable and returns null from the Clone implementation, the Tag property is set to null.
I'm sorry that the project is not completely straightforward, but I was trying several things to figure out why the Tag was null. I finally found that it was the IClonable issue.
Just run the solution in Visual Studio 2008 with the 7.402.0.20 Essential Studio components. You'll hit a breakpoint in the form's OnLoad when the assignment to the .Tag property occurs and then one in the implementation of IClonable.Clone when null is returned. The end result is that you'll see that the Tag property is null.
Thanks!
GridTagTest_edcb026b.zip