I guess I know why this happens. When you press TAB the first time, iGrid does receive the focus, but it cannot indicate this as it has no current cell. When you press TAB the next time, iGrid moves the current cell from "nothing" to the first available cell (the top-left one), and you see the effect.
If you need to make the top-left cell selected automatically if there is no current cell when the input focus is moved to iGrid, in VBA you can use code like this:
Private Sub iGrid1_Enter()
If iGrid1.CurRow = 0 Or iGrid1.CurCol = 0 Then
iGrid1.SetCurCell 1, 1
End If
End Sub
Sometimes, a grid can have no selected cell, and iGrid allows you to do that - that's why our iGrid behaves this way.