Try handling the CurrentCellKeyDown event.
Private Sub GridControl1_CurrentCellKeyDown(ByVal sender As Object, ByVal e As System.Windows.Forms.KeyEventArgs) Handles GridControl1.CurrentCellKeyDown
If e.KeyCode = Keys.Delete Then
Dim range As GridRangeInfo = Me.GridControl1.Selections.Ranges.ActiveRange
If range.IsRows Then
Me.GridControl1.Rows.RemoveRange(range.Top, range.Bottom)
e.Handled = True
End If
End If
End Sub