>I think the behavior is 'by design' (see https://connect.microsoft.com/VisualStudio/feedback/ViewFeedback.aspx?FeedbackID=115953)
>If the object in question is a container than 'ActiveControl' returns the container itself (not the control within the container). You probably need to implement the same type of logic for the container itself (i.e track the Container.ActiveControl)

Thank you.
I added

while (LastFocus is IContainerControl)
LastFocus = ((IContainerControl)LastFocus).ActiveControl;

and tested with code below but textbox in grid still does not get focus.
No idea what I'm doing wrong.

using System.Windows.Forms;
using System.Collections.Generic;
using System;

public class Test
{
    static void Main()
    {
        Application.Run(new MainForm());
    }
}

class MainForm : Form
{
    public MainForm()
    {
        WindowState = FormWindowState.Maximized;
        IsMdiContainer = true;
        Form frm = new Childform();
        frm.MdiParent = this;
        frm.Show();
        Form frm2 = new Childform();
        frm2.MdiParent = this;
        frm2.Show();
        frm2.Left = 2000;
    }
}

class Childform : Form
{
    DataGridView grid;
    Control LastFocus = null;

    public Childform()
    {
        ToolStripContainer tc = new ToolStripContainer();

        grid = new DataGridView();
        grid.Columns.Add(new DataGridViewTextBoxColumn());
        grid.EditMode = DataGridViewEditMode.EditOnEnter;
        grid.Top = 120;
        grid.Height = 300;
        Controls.Add(tc);
        tc.ContentPanel.Controls.Add(new MyUserControl());

        tc.ContentPanel.Controls.Add(grid);
        this.Activated += new EventHandler(Childform_Activated);
        this.Deactivate += new EventHandler(Childform_Deactivate);
    }

    void Childform_Activated(object sender, EventArgs e)
    {
        if (this.LastFocus != null)
            this.LastFocus.Focus();
    }

    void Childform_Deactivate(object sender, EventArgs e)
    {
        this.LastFocus = this.ActiveControl;
        while (LastFocus is IContainerControl)
            LastFocus = ((IContainerControl)LastFocus).ActiveControl;
    }
}

class MyUserControl : UserControl
{
    internal MyUserControl()
    {
        Height = 100;
        Controls.Add(new TextBox());
    }
}