I had a similar problem. The focus remained in the text field, which was tied to some numeric database field, when the user changed the text in the text field and then deleted it so that the text property was an empty string. I solved this with something like:
textbox.DataBindings["Text"].NullValue = "";
He solved the problem for empty entries. I do not know if this will be useful in your case, but I am also interested in a more general solution.
There is also some related question about SO here:
DataBox related data: cannot exit
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