Error not displayed using edcustom

I followed the instructions to use the TFormCoontrolEditLink to utilize TADVDBLookupComboBox. I am using the GridCellValidate event to ensure the user does not select the same value more than once. The event works perfectly on the other columns returning the proper balloon error but on this column does not display the balloon. Debug show the code executing properly. I am using Delphi 2010

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