In order to have WebGrid keep the selected row style after WebGrid lost focus is by defining the LostFocusRow style identic to the SelectedRow style.

The SelectedRowStyle property gets or sets the style applied to the selected row. The LostFocusRowStyle property defines the style applied to the selected row when the focus is out of the grid’s area.

The snippet code below shows a simple sample about how to both of those properties to have red BackColor.

<ISWebGrid:WebGrid ...>
    ...    
    <LayoutSettings AllowSorting="Yes">
        <SelectedRowStyle BackColor="Red" />
        <LostFocusRowStyle BackColor="Red" />
    </LayoutSettings>
    ...
</ISWebGrid:WebGrid>

Hope this helps.