The documentation for the Kendo UI MultiSelect widget states that the user can highlight the next/previous item using RIGHT/LEFT when the selection popup is closed. This works as expected. However, if the user then presses TAB and moves the focus somewhere else, the item remains highlighted.
Since the highlight only indicates that certain actions can be executed on the item, it should be removed in such a case as the actions are no longer executable. This can easily be reproduced with the keyboard navigation sample: