Please consider implementing a Multiselect control similar to how this jQuery plugin, Chosen, works. Look at their Multiple select and Multiple select with <optgroup> examples: http://harvesthq.github.com/chosen/
Do not vote please! Vote on this one: http://feedback.kendoui.com/forums/127393-kendo-ui-feedback/suggestions/3676206-support-select-elements-with-optgroups-in-kendodro
How TO implement Multiselect dorpdown using kendocontrol
Duplicate suggestion, see this earlier thread: http://kendo.uservoice.com/forums/127393-kendo-ui-feedback/suggestions/2295877-enhance-combobox-autocomplete