I don't believe we do too much behind the scenes related to IDataErrorInfo. If the target of a property data accessor is an IDataErrorInfo, it will publish IDataErrorInfo up into the property editor UI by having PropertyGridDataAccessorItem also implement IDataErrorInfo and "wrap" the IDataErrorInfo properties returned by the target.
Then many of our property editors have the Validation.ErrorTemplate="{StaticResource PropertyGridTextBoxErrorTemplate}" set within the DataTemplate somewhere. The Data Validation QuickStart also shows how to make a custom error validation template.
Everything else that is going on related to IDataErrorInfo is pretty much native WPF code.