To reproduce: please refer to the attached sample project. Try to select a new value from the drop-down editor and press Yes from the message box.

Workaround: use the RadPropertyGrid.PropertyValueChanging event to confirm the property changing: 

private void radPropertyGrid1_PropertyValueChanging(object sender, Telerik.WinControls.UI.PropertyGridItemValueChangingEventArgs e)
{
    e.Cancel = (MessageBox.Show("Are you sure you want to change this?", "Question", MessageBoxButtons.YesNo) != DialogResult.Yes);
}