By default, iGrid tries to convert the entered text to the corresponding value of the current cell value data type. If your cell stores an integer value, and you try to save an empty string in it, you get a conversion error. Something similar to the result of the expression like CInt("").
You can process this special case in the BeforeCommitEdit event. Check the lConvErr argument, and if it's not zero, assign the required value to save in the cell to the vNewValue argument (see also the SilentValidation property).
This process is described well in the help file. See, for instance, the topic dedicated to the BeforeCommitEdit event.