RadGridView If FilteringMode is set to DisplayMember if one clicks in the ComboBoxColumn cell; the actual cell value goes blank. If FilteringMode is set to ValueMember the ComboBoxColumn behaves as expected.

Workaround:
Private Sub RadGridView1_CellEditorInitialized(sender As Object, e As GridViewCellEventArgs) Handles RadGridView1.CellEditorInitialized
    If e.ActiveEditor.GetType() Is GetType(RadDropDownListEditor) Then
        e.ActiveEditor.Value = e.Value
    End If
End Sub