Yes, the "WinForms PropertyGrid Functionality demo" is just the name of a sample in our Sample Browser, which shows how our PropertyGrid for WPF mimics the WinForms PropertyGrid.
Your code snippet above uses the KeyDown event, not the PreviewKeyDown event. The KeyDown event can be handled by any number of controls before it reaches the PropertyGrid control, as it bubbles up the visual tree from the control with focus. But the PreviewKeyDown event tunnels down the visual tree, so the PropertyGrid control would see the event before any of it's descendents.
If this doesn't help please put together a small sample project that reproduces your issue and email it over then we can take a closer look. Be sure to remove any executables or change the extension of the zip file to ensure it gets past our email filters.