Workaround:
Cancel CurrentRowChanging event if Text is empty:
        this.radMultiColumnComboBox1.EditorControl.CurrentRowChanging += EditorControl_CurrentRowChanging;
        void EditorControl_CurrentRowChanging(object sender, Telerik.WinControls.UI.CurrentRowChangingEventArgs e)
        {
            e.Cancel = string.IsNullOrEmpty(this.radMultiColumnComboBox1.Text) && this.radMultiColumnComboBox1.MultiColumnComboBoxElement.ArrowButton.IsPressed;
        }