Hello mcseidel,
In this situation the possible approach is to use parent “ActiveCellChanged” event, look at the sender (this should be Container grid) if you typecast it as such and then look at the Band and see if it is a child band do the needed actions. If it is WHDG itself, do corresponding actions for it.
Try this approach and let me know if it is working in your scenario.
The approach you describe will work since I'm there already, but why child grid fails to fire event, is this the problem that is going to be fixed or it's the feature ?