Add items with default values. User knows what to enter (value or chars) and you don't have to check the empty fields. You only have to check if an item has been changed.

 

Private Sub wndPropertyGridFiles_AfterEdit(ByVal Item As XtremePropertyGrid.IPropertyGridItem, NewValue As String, Cancel As Boolean)
    If NewValue = Empty Then
        MsgBox "This field is required, cannot be empty"
        Cancel = False ' I would expect this to work but it isn't :(
    End If
End Sub

 

This event fires also when no value or same value is entered. But it should be selected again if cancel = false. I ask myself what the purpose of cancel in this event is