Well the MS hotfix installation failed, heh.
I commented out the databinding, so LLBLGenPro and databinding are both out of the picture. When the form loads the Leave, Validating, and Validated events fire! I type something and then tab out of the control but nothing happens, it's as if the control is saying, "I fired those events already, you want me to fire them again??". Then I tab back and tab out, and now those events fire as expected.
It's the first control on the form, with tab index of 1, and the focus is thus automatically set there when the form loads.
I tell you, this is truly bizarre. Why would these events fire initially? And then not fire when I leave the control the first time? Usually the more stupid and outrageous the behavior, the more likely it is I've done something stupid. But I'm not doing anything else special that could mess things up, and as I said, I've even removed the databinding.