To reproduce:
void radGridView1_CellValueChanged(object sender, Telerik.WinControls.UI.GridViewCellEventArgs e)
{
    if (e.Value == null || e.Value == DBNull.Value)
    {
        e.Row.Delete();
    }
}
-  Use the enter key to confirm the change


Workaround:
void radGridView1_CellEndEdit(object sender, Telerik.WinControls.UI.GridViewCellEventArgs e)
{
    if (e.Value == null || e.Value == DBNull.Value)
    {
        e.Row.Delete();
    }
}