The event is for reacting after prices have been saved. So if you want to validate, you will need to implement yourself: Create a class inherited from PriceDetailService, then override ReplicatePriceServiceChanges and Save methods and do the validation here. Register this class as the instance of IPriceDetailService in your IConfigurationModule.
Is it possible to validate prices when users add them?
I'm looking at the following documentation - http://world.episerver.com/documentation/Items/Developers-Guide/EPiServer-Commerce/8/events/pricing-events/ - which suggets there are events than can be listened for.
Is it therefore possible to reject a pricing entry if a user added if they added an incorrect Sales Code for example?