If you use [DevEx] ASPxGridView within MS Ajax' UpdatePanel (ASPxGridView.EnableCallBacks="False") you should be aware that you should perform
DataBind() method within OnInit method (Init event). Otherwise editing just won't work, or better, it works, just the modifications aren't persisted. It took me some time to pinpoint the problem as ASPxGridView worked just fine outside UpdatePanel. I had to put it within UpdatePanel because I needed to refresh other controls as well (otherwise grid refreshes just itself).
Note that when ASPxGridView is hosted in UpdatePanel the nice error reporting feature (see the picture below) won't work either – instead you'll get script error reported by browser. IOW you have to handle errors by yourself.
Cool automatic error feedback
See also this support thread.