The solution for the "no event fired" problem is to set a value to the CellClickAction property. 

In XAML code of the XamDataGrid add this:

<igDP:XamDataGrid.FieldSettings>
    <igDP:FieldSettings CellClickAction="SelectRecord" />
</igDP:XamDataGrid.FieldSettings>

Stefan,
for complex problems it's useful to add an example project.
In this case it would be more useful to just write a tiny text.
This is better for reader than the need to download, extract and analyse the code.

Additionally it would be useful to add this important information to the documentation of the SelectedItemsChanging and SelectedItemsChanged events.

Nevertheless: Thanks for your reply.