我是这么处理的
procedure TMainForm.DataGrid1KeyDown(Sender: TObject; var Key: Word; Shift: TShiftState);
begin
if TShiftStateEnum.ssCtrl in Shift then
begin
DataGrid1.Options := DataGrid1.Options - [TGroupListOption.egoMultiSelect];
end
else
DataGrid1.Options := DataGrid1.Options + [TGroupListOption.egoMultiSelect];
end;