You can try to do something like this, maybe is not the best but works:
Add a valid code in the Valid event of each column in grids
The valid even is in the active control of column:
Form1.grid1.Cloumn1.Text1.Valid
i.e.
If Empty(This.Value)
=Messagebox("Field can't be empty!")
Return 0
Else
Return .T.
EndIf

I hope this help