Look how odd is the following scenario:
<DataGrid.Columns>
<!--Doesn't work-->
<DataGridComboBoxColumn
Header="Vendor"
ItemsSource="{Binding Vendors}"
SelectedItemBinding="{Binding Vendor,
UpdateSourceTrigger=PropertyChanged}"
DisplayMemberPath="Contact.Title"/>
<!--Works-->
<DataGridTemplateColumn Header="Vendor">
<DataGridTemplateColumn.CellTemplate>
<DataTemplate>
<TextBlock DataContext="{Binding Vendor}"
Text="{Binding Contact.Title}"/>
</DataTemplate>
</DataGridTemplateColumn.CellTemplate>
<DataGridTemplateColumn.CellEditingTemplate>
<DataTemplate>
<ComboBox ItemsSource="{Binding Vendors}"
SelectedItem="{Binding Vendor, UpdateSourceTrigger=PropertyChanged}"
DisplayMemberPath="Contact.Title"/>
</DataTemplate>
</DataGridTemplateColumn.CellEditingTemplate>
</DataGridTemplateColumn>
</DataGrid.Columns>