There are two way to process data
a) as text - in such case your added tags will be visible as text
b) as HTML - in such case value will be threated as HTML, but here problem can occur - if browser count inserted value as not valid HTML then it may try to correct it automatically - this is probably reason of adding some extra closing tag in described situation.
>>click outside grid closes editor
Can be disabled by commenting next line in dhtmlxGrid.js ( line 3446 in full version )
// dhtmlxEvent(document.body,“click”,function(){ if (self.editStop) self.editStop(); });