Andrew Price
I have two grids on one form, both using row selection mode, and would like to keep the focus rectangle visible in each grid no matter which one has the focus.

I cannot find this mentioned in the help and no results in the forum when searching for 'focus rectangle'.

The focus rectangle is a special marker in Windows telling the user what control has the input focus. As such, it can be present only in one control.

I think, you need to use another visual cue. What about a special color or even custom drawing?