One way to fix it is by using the HTMLSnippet. Give your grid a css class (i.e. mydatagrid) and check the column name in the properties.
Add the snippet anywhere on the page, select Javascript with jQuery and add this:
setTimeout(function(){
$(".mydatagrid tr:first-child .mx-name-column2").click()
;
}, 1000);
Be sure to change .mx-name-column2 to the column number you want your click on. This simulates the first click and will enable your user to notice the fact that the cell is editable and click on it to be able to start typing.
We have had this issue too. It seems like Mendix focusses on the row that you click on (the row containing the editable column). So you have to click on the inputbox that shows up (or press any key) and the focus goes to the input box, then you can start typing. A possible workaround using jQuery (not yet test crossbrowser, but does work in Chrome) is:
When a user clicks an editable column, Mendix adds an input box to the editable columns DOM subtree. So what this JS code does is listen for DOM modifications on any column with the class 'editable'. Once it notices the DOM change we manually focus on the input within this DOM element.
If i'm correct the DOMSubtreeModified is not jQuery specific, so you should be able to solve this in native Javascript as well.