No, there's nothing which catches my eye. And as expected, the pasteing works correctly for me, with or without your StringGridKeyDown handler...
I fear, without being able to reproduce this bug (?) there nothing left I could do...
I could only motivate you to debug it yourself. In your test program's project settings, go to "Additions and overrides", select "Add" > "Custom Option", and type "-gw2" (without quotes) either in the line "Stored in project" or "Stored in session of project". This will activate dwarf debug information in your project and all modules used (except rtl/fcl). Therefore you will be able to trace into LCL routines and to check what's happening there.