When set the SelectedIndex property in the DropDownClosed event selected index is not set correctly.  

Workaround:
private void radMultiColumnComboBox1_DropDownClosed(object sender, Telerik.WinControls.UI.RadPopupClosedEventArgs args) 

{

this.radMultiColumnComboBox1.SelectedIndex = 0; 

this.radMultiColumnComboBox1.EditorControl.CurrentRowChanging += new CurrentRowChangingEventHandler(EditorControl_CurrentRowChanging); 

}

void EditorControl_CurrentRowChanging(object sender, CurrentRowChangingEventArgs e) 

{

e.Cancel = true; 

this.radMultiColumnComboBox1.EditorControl.CurrentRowChanging -= EditorControl_CurrentRowChanging; 

}