Not quite, but I found a solution - happy to hear about other ways of handling this.
In the Grid.ValidateEntry
If aCol = KasBL Then
Begin // Check if number
Val(NewValue,I,Code);
if Code <> 0 Then Raise Exception.CreateFmt('Number not correct : ''%s''', [newvalue]);
end
and then create an application exception handler
Application.OnException := @clmExceptionHandler;
Where the handler looks like this
procedure TMainForm.clmExceptionHandler(Sender: TObject; E: Exception);
Begin
MessageDlg(E.Message,mtInformation,[mbOk],0);
end;