I'm not sure about the CallStateChanged method, but if you are finding that the message handlers are not getting called, is it possible that you "copy and pasted" the message handling code from the documentation? If so, the code in the documentation is missing the "Handles ... " part of the Sub declaration, which would cause the handlers not to be invoked.
Private Sub grdRegion_UpdateCellBatch(ByVal sender As Object, ByVal e As Infragistics.WebUI.UltraWebGrid.CellEventArgs) Handles grdRegion.UpdateCellBatch
...
end sub
Just a guess - But it is something I noticed when trying the sample.
The sample still doesn't work - but that might be a different story. See my separate reply to Sandra Emery's post...
Hope this helps,