
I'd like the DataGridDoubleColumn to behave as DataGridTextColumn - it means I want to start typing to edit cell instead of pressing F2. The similar problem was posted a long time ago in http://www.actiprosoftware.com/community/thread/4311/datagriddoublecolumn-in-datagrid#15974 - question 3.
I found a plausible solution on http://madcoderspeak.blogspot.com/2010/04/set-keyboard-focus-when-user-begins.html - maybe it could be introduced into your controls?