Looks like if you define your own CollectionEditor, override
CreateCollectionForm(), you will get a partly readonly collection
editor ( "Add" "Remove" order buttons disabled, but you can still
change items from PropertyGrid, can save  your changes by clicking "OK"
button.

    protected override CollectionForm CreateCollectionForm()
    {
        CollectionForm form = base.CreateCollectionForm();
               PropertyInfo pi =
form.GetType().BaseType.GetProperty("CollectionEditable",
                   BindingFlags.NonPublic | BindingFlags.Instance);
               if (pi != null)
               {
                   pi.SetValue(form, false, null);
               }

               return form;
    }

Now I need a way to programmatically make PropertyGrid readonly.