You should be able to set the UltraGrid.DataSource property to a .NET BindingSource (which satisfies the editable collection requirement).
Infragistics certainly supports the IBindingList interface, which is implemented on the BindingSource, but I don't know if it uses the AddingNew event. You might have to implement BeforeRowInsert as you pointed out.
I'm not seeing any interface on the DataTable that does this either. They probably coded specifically for the DataTable and call NewRow on it. You'll probably need to implement BeforeRowInsert for any non-DataTable source.