Hi Fabio!
Thanks a lot for your help.

Indeed ObjToClient() function returns wrong values in case of grid cell.
I used your idea to put container into another container and it makes Anchor property work!

I use BindEvent() function in my container to bind it to Column's Resize event and Column.Width property - to determine the new size (width) of my container when column gets resized. This way it works.

Maybe this might be useful for somebody else who tries to do the same.