The default cell editor is based on the underlying OS widgetset editor. So when the mouse is within the widgetset editor in the currently selected cell, the OS widgetset editor swallows the right-click before Lazarus even sees it, and shows the OS editor context menu.
Although you can set alternative cell editors in a Lazarus grid, you will probably find they are all ultimately based on the same OS widget, and so will all exhibit the same behaviour.
Maybe a Lazarus developer (Bart? Jesus?) who maintains these controls will know a way to alter this behaviour without having to write an OS-independent custom-drawn editor that could be an alternative cell editor for you to use.