To reproduce:

private void Form1_Load(object sender, EventArgs e)
{
    this.customersTableAdapter.Fill(this.nwindDataSet.Customers);

    GridViewMultiComboBoxColumn col = new GridViewMultiComboBoxColumn("MCCB column");
    col.DataSource = this.customersBindingSource;
    col.DisplayMember = "ContactName";
    col.ValueMember = "CustomerID";
    this.radGridView1.Columns.Add(col);
    this.radGridView1.AutoSizeColumnsMode = GridViewAutoSizeColumnsMode.Fill;
}

private void radGridView1_UserAddingRow(object sender, Telerik.WinControls.UI.GridViewRowCancelEventArgs e)
{
    if (e.Rows.First().Cells[0].Value+"" =="ALFKI")
    { 
        MessageBox.Show("Please select a product", "Error", MessageBoxButtons.OK, MessageBoxIcon.Exclamation);
        e.Cancel = true;

        this.radGridView1.BeginEdit();
    }
}

Please refer to the attached gif file.

Workaround: use the NumericUpDown.MouseDown event and call the RadGridView.BeginEdit method instead of activating the editor in the UserAddingRow event.