Sigo pensando que es mas sencillo jugar con las propiedades EnterCell y LeaveCell del Grid.
(La propiedad SelectionMode a flexSelectionFree)
Código:
Private Sub MSHFlexGrid1_EnterCell()
Dim i As Integer
With MSHFlexGrid1
For i = 0 To .Cols - 1
.Col = i
.CellBackColor = vbBlue
.CellForeColor = vbWhite
Next i
.Col = 0
End With
End Sub
Private Sub MSHFlexGrid1_LeaveCell()
Dim i As Integer
With MSHFlexGrid1
For i = 0 To .Cols - 1
.Col = i
.CellBackColor = vbWhite
.CellForeColor = vbBlack
Next i
.Col = 0
End With
End Sub