I don't think this is supposed. The CellMultiLine property is only on the column, not on the Cell.
Is there anyway to set it in the editor since I can have a different editor per row?
Well... I'm not entirely sure. This property is not on the editor, so you can't set it there. But it comes from the Owner. So if you really want to jump through some hoops, you might be able to pass in a custom DefaultOwner to your editor when you create it. I'm not entirely sure this will work, the grid might not handle it correctly, because the grid doesn't expect some cells to be multiline and others not. But it seems theoretically possible.