The issue is not reproducible with Q1 2015 SP1 and the following markup:

<telerik:RadScriptManager runat="server" ID="RadScriptManager1" />
<telerik:RadAjaxManager runat="server" ID="theAjaxManager">
<AjaxSettings>
<telerik:AjaxSetting AjaxControlID="MyDataGrid">
<UpdatedControls>
<telerik:AjaxUpdatedControl ControlID="MyDataGrid" LoadingPanelID="theLoadingPanel" />
</UpdatedControls>
</telerik:AjaxSetting>
</AjaxSettings>
</telerik:RadAjaxManager>
<telerik:RadAjaxLoadingPanel ID="theLoadingPanel" runat="server"></telerik:RadAjaxLoadingPanel>
<telerik:RadGrid ID="MyDataGrid" runat="server"
AllowAutomaticUpdates="true" AllowAutomaticDeletes="true" AllowAutomaticInserts="true"
AutoGenerateEditColumn="true">
<MasterTableView CommandItemDisplay="TopAndBottom">
<Columns>
<telerik:GridTemplateColumn UniqueName="Content">
<EditItemTemplate>
<telerik:RadColorPicker runat="server" EnableCustomColor="true"></telerik:RadColorPicker>

</EditItemTemplate>
</telerik:GridTemplateColumn>
</Columns>
</MasterTableView>
</telerik:RadGrid>
</div>
<script runat="server">
protected void Page_Load(object sender, EventArgs e)
{
MyDataGrid.DataSource = new string[] { "Item1", "Item2", "Item3", "Item4", "Item5" };
}
</script>