Ok, here's what another resource on our project found yesterday to solve this grid "feature by design".

First let's say that even if we have SET DELETE ON, when we will delete a record in a grid, sometimes even after a refresh, the record stay there. We have to move to another record, skip or skip -1 will do it.

Secondly, if you are on the last record, this will not work. So, here's the funny part. After you delete the record, do something like this:

ThisForm.LockScreen=.T.
lnOldHeaderHeight=ThisForm.Grid.HeaderHeight
ThisForm.Grid.HeaderHeight=ThisForm.Grid.Height
ThisForm.Grid.HeaderHeight=lnOldHeaderHeight
ThisForm.LockScreen=.F.

By resizing the row height to be a full size of the grid and then back again, this was ok to remove the record. And now, we don't have this problem anymore.

Thanks to Michel Lalonde for this workaround.