The guys over at stackoverflow.com (http://stackoverflow.com/questions/1202177/infragistics-ultrawingrid-delete-confirmation) figured it out.  Here is the answer:

You can detect when they press the delete key on your row. Use something like the BeforeRowsDeleted event. That event exposes the BeforeRowsDeletedEventArgs object which has the e.DisplayPromptMsg property available to you.

private void ultraGrid_BeforeRowsDeleted(object sender, BeforeRowsDeletedEventArgs e)
{
     e.DisplayPromptMsg = false;
}