Yes, indeed, it's an interesting point why iGrid does not display the conversion error message in the second case. To understand what is going on, I need a sample to reproduce this. But perhaps, a faster way to figure this out is to get an answer to the following question from you.
iGrid tries to convert the entered text into the corresponding value of the type of the current cell value. If you enter a string with the dollar sign and it is accepted 'as is', then maybe the cell contains a value not of the Decimal type. Can you tell us what is the type of the cell values in the second case?
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As for the problem in general, what would you recommend to do with the cell text formatted with a format string when the user starts editing? For example, wouldn't it be better to activate the cell editor with the cell value converted to string with the common .ToString() method so all special characters like the dollar sign and thousand separators would be removed automatically? Try to analyze the problem for frequently used data types like integer, float, decimal, date and bool.