Maybe one possible approach to solve this task, could be if you are using ultraGrid1_BeforeSelectChange() event. For example:
private void ultraGrid1_BeforeSelectChange(object sender, Infragistics.Win.UltraWinGrid.BeforeSelectChangeEventArgs e)
{
if (e.NewSelections.Cells.OfType<UltraGridCell>().First().Column.Key != e.NewSelections.Cells.OfType<UltraGridCell>().Last().Column.Key)
{
e.Cancel = true;
}
}