If you programmatically update a cell, this won't trigger OnCellValidate. OnCellValidate is only triggered when you edit a cell via the UI.
Other than this, I'm not sure what exactly your picklist is doing, how it possibly interferes with the grid. Are you sure you call the code that updates the grid after you are 100% sure nothing will move the focus possibly back to the picklist? A focus change is one possible cause for the grid to stop editing and move to a next cell.