I found an alternative. It's not exactly what I'm asking for but I end up getting the value anyway... I handle the CellLeave event, which then I go locate the value of the numeric up down's cell.
Private Sub DataGridView1_CellLeave(sender As Object, e As System.Windows.Forms.DataGridViewCellEventArgs) Handles DataGridView1.CellLeave
If e.ColumnIndex = DataGridView1.Columns("ColNud").Index AndAlso e.RowIndex >= 0 Then
Dim NudValue = DataGridView1.Rows(e.RowIndex).Cells(e.ColumnIndex).Value
End If
End Sub