XamDataGrid validation via IDataErrorInfo
Karl Shifflett implemented a great way to have XamDataGrid honor the validation results exposed by a data object that implements the IDataErrorInfo interface. Using this approach to input validation allows your application to keep the business object validation logic where it belongs...in the business objects. I recommend you use Karl's approach until native support for IDataErrorInfo is added to XamDataGrid.
Karl's article can be found here.