To reproduce: please refer to the attached sample project and follow the described steps in the .doc file located in the zip. 

Workaround:

        protected override void OnActivated(EventArgs e)
        {
            base.OnActivated(e);
            this.ActiveControl = this.gvDetails;
        }

       private void gvDetails_LostFocus(object sender, EventArgs e)
        { 
            ((ComponentBehavior)gvDetails.Behavior).GetType().GetProperties(BindingFlags.NonPublic | BindingFlags.Instance);
            PropertyInfo barProperty = ((ComponentBehavior)gvDetails.Behavior).GetType().GetProperty("ScreenPresenter", 
                BindingFlags.NonPublic | BindingFlags.Instance);
            Form screenTip = barProperty.GetValue(((ComponentBehavior)gvDetails.Behavior), null) as Form;
                    
            screenTip.Hide();
        }