After struggling some more hours, I've eventually found the solution that best applies to my needs: I don't know if this is THE solution though.
- Got rid of all BindingSource controls used by the combo boxes.
- On DataGrid DataBindingComplete event: configured the data source of both combo with a non filtered List and set DisplayMember and DisplayValue properties (both list have a first "null" element).
- On DataGrid EditingControlShowing event: changed the datasource of the second combo with a filtered List based on the current value of IdEquipement (if any) and keeping the first null element.
- On DataGrid CellValueChanged event: if the changed column id IdEquipement, se to null the value of the column containing IdConfiguration
This, so far, works. I hoped in a easier way to achieve the same result, but as far as I can see there are no options.