This is what I want:
This is my current code, which populates the combobox but doesn't update ClassA.ApplicationKey.
<DataGridComboBoxColumn 
    Header="Application" 
    SelectedItemBinding="{Binding ApplicationKey, Converter={gui:DebugConverter}}" 
    SelectedValuePath="ApplicationKey" 
    DisplayMemberPath="ApplicationName" 
    ItemsSource="{Binding Source={x:Static app:ApplicationLookup.GetAllOrNone}}"/>
                Use SelectedValueBinding instead of SelectedItemBinding when using SelectedValuePath.
Working example
<DataGridComboBoxColumn 
    Header="Application" 
    SelectedValueBinding="{Binding ApplicationKey}"
    SelectedValuePath="ApplicationKey" 
    DisplayMemberPath="ApplicationName" 
    ItemsSource="{Binding Source={x:Static app:ApplicationLookup.GetAllOrNone}}"/>
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