This is not a bug. In order to show the value into the GridDropDownColumn  the relation between fields from the GridDropDownColumn  data source and the grid datasource must be correct. Into the attached project in order to show the value in GridDropDownColumn the GridDropDownColumn's DataField needs to be "MyItemID":

<telerik:GridDropDownColumn DataField="MyItemID" DataSourceID="SqlDataSourceColors"  
                            FilterControlAltText="Filter Color column" HeaderText="GridDropDownColumn"
                            ListTextField="ColorName" ListValueField="ColorID" SortExpression="ColorName"
                            UniqueName="MyItemIDMyItemID">
                        </telerik:GridDropDownColumn>

Additionally the filtering also works as expected. More information here:

http://www.telerik.com/help/aspnet-ajax/grid-filtering-by-listtextfield-for-griddropdowncolumn.html