To reproduce: 

1. Add a RadMultiColumnComboBox and set up filtering.
2. Start typing in order to filter all the rows.
3. Click somewhere. As a result the RadMultiColumnComboBox will loose focus.

If you try to get the SelectedIndex or SelectedValue you will notice that the first row in the popup grid is current. It is expected to have no selected row as the entered text does not match any row.

Workaround:

 public class CustomRadMultiColumnComboBox : RadMultiColumnComboBox
        {
            protected override void OnLostFocus(EventArgs e)
            {
                int currentIndex = this.SelectedIndex;
                base.OnLostFocus(e);
                this.SelectedIndex = currentIndex;
            }

            public override string ThemeClassName  
            { 
                get 
                { 
                    return typeof(RadMultiColumnComboBox).FullName;  
                }
            }
        }