This behavior is due to new design changes introduced with Pega 7.
In Pega 7, the 'th' tags associated with the grid column headers have a 'tabindex' attribute associated. Due to this, when 'tab' key is pressed from outside the grid context, the captions/header names get selected first instead of the input fields of the grid row.
These design changes have been introduced to aid the product in supporting more and more accessibility related features and help end users leveraging assistive computer technology. On tabbing over the header columns, the accessible user will know whether the particular column is sortable or not. This is the very purpose of generating the tabIndex attributes on header columns. Also the navigation is made user friendly and intuitive to take the user directly to data row once you tab from the last column of the header.
On the input field outside the grid configure "Display -> Set focus" action (to move the focus to id property in first row of grid) on tab key event. Then focus will directly shift to first cell of data row instead of going through grid headers.