I tried to reproduce the problem in my local test by creating a simple sample of BatchUpdate-enabled WebGrid where one of its columns uses DropDownList as the edit type. The data source of the DropDownList is taken from a database where the first row is a null selection option. The only difference is that AccessDataSource control is used instead of LinqDataSource control. Everything worked smoothly and the null value can be saved without any issues.

I’m willing to advice you further but in order to do so we would need you to elaborate on your specific scenario and possibly give us a running simple sample that reproduce the issue and a step-by-step guide that we can use to observe the problematic behavior.

Yudi,
The problem is dropdown's original datasource has no null row, but i want to add it to dropdown list.
Sample Scenerio is:
Webgrid's boundend datasource is a customer table where its country field is a nullable foreign key field. So what i want is a country dropdownlist column which populates its data from country table. But also, as it is nullable field, i have to supply a null option for that field. As you may agree, it is not an option to add a null row to country table. So i'm inserting a null object to returned collection at OnSelected event of LinqDataSource.
In my opinion, as this scenerio is very generic, there must be a simple option for this in webgrid column.

Could you please kindly send us a working simple sample that reproduces the issue?

Sample is attached; sample database is in data folder of compressed file.