Changing the current cell of RadGridView is a complex operation consisting of two sub-operations - changing the current row and changing the current column. These two operations are executed in sequence, first the current row changes and then the current column. The CurrentRowChanged and CurrentColumnChnaged events exist only for convenience and are not a suitable place to change the current cell. If you change the current column in a CurrentRowChanged event handler the sub-operation for changing the column would still have not been executed and when it is, it will overwrite your changes.
The right place to change the current cell is the CurrentCellChanged. From a CurrentCellChanged event handler you can change both the current row and the current column.