To reproduce: use DataAccess to connect to Northwind.Customer table:

public Form1()
{
    InitializeComponent();
    EntitiesModel1 context = new EntitiesModel1();
    var query = (from c in context.Customers where c.CustomerID.Contains("f") select c).ToList();
    this.radGridView1.DataSource =  query;
    
    SortDescriptor descriptor = new SortDescriptor();
    descriptor.PropertyName = "CustomerID";
    descriptor.Direction = ListSortDirection.Ascending;
    this.radGridView1.MasterTemplate.SortDescriptors.Add(descriptor);
    this.radGridView1.CurrentRow = this.radGridView1.Rows.Last();
}

Run the project and press the Delete key several times.

Workaround: use BindingSource as RadGridView.DataSource:

BindingSource bs = new BindingSource();
bs.DataSource = query;
this.radGridView1.DataSource = bs;