The OnLostFocus is triggered when the control gets the focus and is not triggered after the focus is lost. The current call stack is as follows:
- The control gets the focus 
- OnGotFocus is hit
- OnLostFocus is hit incorrectly
- The focus is removed from the control
- The OnLostFocus is not hit and it should be

As a workaround you can hook to these events in the constructor of the custom ComboBox:

    public MyRadComboBox()
    {
        this.GotFocus += MyRadComboBox_GotFocus;
        this.LostFocus += MyRadComboBox_LostFocus;
    }