The first click of the generic cell tries to activate the control of the cell, but when the control is a panel or user control, then the generic cell click is not sufficient enough to activate the proper control.
When your control is a panel that has a checkbox on it, you must handle the control's Enter event, and in the event set the focus to the child control you want to get it from. The following code examples in C# and VB.NET click the checkbox on the first click.
Figure 1: GridControl cell with Panel
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