Yes, it is supported, but you need to inspect Grid2 Inserting event handler instead of Grid1 Inserting event handler (I am assuming Grid1 is the parent grid and Grid2 is the child grid).
To insert the event handler for Grid2 inserting event, add the event handler into the grid markup tag:
<GridFX:Grid ID="Grid2" runat="server" DataParameterField="property_id" DataSourceID="AccessDataSource2" OnItemInserting="Grid2_ItemInserting" Width="100%">
Or, you can Edit Sidebar Template at design time: Select the child grid, go to the property window and add a new event handler for the ItemInserting.
Let me know if this helps.