How to handle this case:

Subscribe to the CellValidating event and add logic for validation. For example:

If e.Value Is Nothing Then
    e.Cancel = True
End If

Additionally you can handle the DataError event to handle cases where users are trying to submit invalid data through the grid to its data source.

Finally, you can subscribe to the ContextMenuOpening event where to hide the "Clear value" item from context menu with following code snippet:

For i As Integer = 0 To e.ContextMenu.Items.Count - 1
    If e.ContextMenu.Items(i).Text = "Clear Value" Then
        e.ContextMenu.Items(i).Visibility = Telerik.WinControls.ElementVisibility.Collapsed
    End If
Next