To reproduce:

Set these properties:

radGridView1.SelectionMode = GridViewSelectionMode.FullRowSelect;
radGridView1.MultiSelect = true;

Select a row, hold Ctrl and click the same cell which is selected, you will see that the SelectionChanging event, along with the SelectionChanged one will not be fired.

Workaround:

Use the PropertyChanging event of the rows:

this.Grid.Rows.ToList().ForEach(x => x.PropertyChanging += x_PropertyChanging);

....

void x_PropertyChanging(object sender, Telerik.WinControls.Interfaces.PropertyChangingEventArgsEx e)
{
    if (e.PropertyName == "IsSelected")
    {
    }
}