To reproduce: please refer to the attached sample project. Note that the CellValidating event is fired twice even without showing a RadMessageBox. With an MS Button the problem is not reproducible.

Workaround: use the RadGridView.ValueChanging event to perform validation while the user is typing in the active editor:
 private void radGridView1_ValueChanging(object sender, Telerik.WinControls.UI.ValueChangingEventArgs e)
 {
   if (((string)e.NewValue) != "x")
     {
         RadMessageBox.Show("Only 'x' allowed!");
         e.Cancel = true;
     }
 }