I have a workaround. In the combobox selectionChanged event I save selection to server. In the cellEditEnd event I update the dataGrid again. I would still like to get the current value to show in the combobox - the selectedIndex. If someone can help with that part(or the rest) I'll give you the solution.
The twoWay binding does not work and this is why I have to rebind the dataGrid.
<DataTemplate>
<ComboBox ItemsSource="{Binding Path=stations,Mode=TwoWay}" SelectionChanged="cb_SelectionChanged" DropDownClosed="dd_closed" />
</DataTemplate>