Closing a drop-down list without saving the selected item in the cell is a common behavior in any Windows program so do the same in our drop-down lists.
If you need another behavior, and you are ready to implement your own drop-down list, you can achieve this. First of all, we recommend that you look at the Multi-Column Drop-Down List sample from the Extra Samples Library for iGrid.NET:
http://www.10tec.com/Products/dotNET/iGrid.NET/Extra_Samples.aspx You can use this sample as a basis for your development.
Any iGrid custom drop-down list is based on the IiGDropDownControl interface. It has the CommitOnHide property which determines whether the drop-down list commits editing if the user has clicked outside of the list or switched to another app. It seems, this property will be useful for your task.
In any case, if you have any troubles with the implementation, you can always contact our support service by sending your code and accompanying questions.