Ok, so diving even further in I think I've answered my own question and this is interesting for new people to ideablade to get info on the subject.
What I've found is that you cannot chain the binding sources together and have the user be able to click on a row and hit the delete key. The relationship between parent and child is read-only therefore it doesn't work.
The documentation in a readme.doc in the solution folder tells us that but in a round about way
"What is the difference between the two solutions in the “Orders on User Control - No Chaining” folder? Simply the mechanism by which adds and deletes are accomplished. In the “AddDeleteWithBNOnChildGridInUserControl” solution, a BindingNavigator is provided for the Orders grid, and its AddNewItem and DeleteItem buttons are used for adding and deleting Orders. In the “AddDeleteWithNewItemRowOnChildGridInUserControl” solution, the “NewItem” row at the bottom of the grid is enabled and is used for adding new Orders. To delete an Order, you select the row and press the DEL key."
In the first example by chaining your binding sources you can't delete a row with the delete key, your users have to use the binding navigator.
The solution that solved all my issues is:
C:\Program Files\IdeaBlade DevForce\Instructional Units\200 Intermediate\Add-Delete On Child Grid\02 Code CSharp\Orders on User Control - No Chaining\AddDeleteWithNewItemRowOnChildGridInUserControl
The answer was there I just had to find it. Hoping this saves someone else time. The developer guide on page 77 could be changed to say that if you don't chain your binding sources you can delete or something.