I figured out that my problem had to do with setting the RowSelectors property to false like so:
grdCurrent.DisplayLayout.Override.RowSelectors = Infragistics.Win.DefaultableBoolean.False;

Holding the shift key down and clicking the mouse selected multiple cells but it does not select multiple rows. When I set the above property to  Infragistics.Win.DefaultableBoolean.True, the row selector column is displayed and holding down the shift key and clicking the mmouse in the row selectors column will select multiple rows. In summary, setting the RowSelectors property to true and using the row selector column to select multiple rows solved my problem.

I'm seeing this same issue in an ultragrid.

Yes, I had tried setting this.ultraButton.Appearance.BackColor = Color.Blue;

But setting the UseOsThemes to false did the trick. Thanks for your help!