OnDrawCell 을  이용하시고
한줄만 Color를 가져간다면 OnClick Event에서 Refresh해줘야
Focus가 없는 Row의 Color를 원위치 시킬 수 있을겁니다.

procedure TForm1.StringGrid1DrawCell(Sender: TObject; ACol, ARow: Integer; Rect: TRect; State: TGridDrawState);
var lBColor ,lFColor  : TColor;
var lOBColor,lOFColor : TColor;
begin
  if      (gdFixed   in state) then
  else if (gdFocused in state) then
    begin
    end
  else
    begin
      lOFColor:=TStringGrid(Sender).Canvas.Font.Color;
      lOBColor:=TStringGrid(Sender).Canvas.Brush.Color;

      if AROW=TStringGrid(Sender).Row then
        begin
          if      ACol=1 then begin lBColor:=clYELLOW; lFColor:=clBLACK; end
          else if ACol=2 then begin lBColor:=clBLUE;   lFColor:=clWHITE; end
          else if ACol=2 then begin lBColor:=clRED;    lFColor:=clBLACK; end;
        end
      else
        begin
          lBColor:=lOBColor;
          lFColor:=lOFColor;
      end;

      TStringGrid(Sender).Canvas.Font.Color :=lFColor;
      TStringGrid(Sender).Canvas.Brush.Color:=lBColor;
      TStringGrid(Sender).Canvas.FillRect(Rect);
      TStringGrid(Sender).Canvas.TextOut(Rect.Left+2,Rect.Top+2,TStringGrid(Sender).Cells[ACol,ARow]);

      TStringGrid(Sender).Canvas.Font.Color :=lOFColor;
      TStringGrid(Sender).Canvas.Brush.Color:=lOBColor;
  end;
end;

procedure TForm1.StringGrid1Click(Sender: TObject);
begin
    StringGrid1.Refresh;
end;