Selector.SelectedItemProperty is using UpdateSourceTrigger.Default, which results in PropertyChanged, and this works fine when using a combobox on any control like this:
<ComboBox SelectedItem="{Binding MyVMProperty}"/>
This will result in a two-way binding with UpdateSourceTrigger=PropertyChanged.
However when applying that same binding on a DataGridComboBoxColumn, it only updates the source on lost focus (or when the column exists edit mode):
<DataGridComboBoxColumn SelectedItemBinding="{Binding MyVMProperty}"/>
I know that I can explicitly set the UpdateSourceTrigger in the binding, but I was more curious about why it does not work the same way out of the box? The underlying Binding has UpdateSourceTrigger.Default, so I would have expected it to adhere to the mode set by the Selector.SelectedItemProperty.