Hello Ivan,
I agree with you that it is a problem.
Look at the demo which I wrote for the answer. It shows how you can overwrite the standard $.jgrid.checkValues function and do some additional actions. The example uses inline editing, but you can easy modify it for the form editing.
I can add that one more important problem is that the field validating will be broken at the first error found. If one mark the fields having errors one can validate all fields. In dialog haveing many field it can improve the user expirience.
As the workaround I could suggest you to use beforeSubmit event. If you would returns from your version of $.jgrid.checkValues allways true, but set some error flag (varible), you can test the flag in your beforeSubmit