To reproduce: use the following code:

public Form1()
{
    InitializeComponent();

    Label l1 = new Label();
    l1.Text = "Label&1";
    l1.Location = new Point(10, 20);
    this.Controls.Add(l1);

    RadTextBox tb = new RadTextBox();
    tb.Location = new Point(150, 20);
    this.Controls.Add(tb);

    Label l2 = new Label();
    l2.Text = "Label&2";
    l2.Location = new Point(10, 50);
    this.Controls.Add(l2);

    RadTextBoxControl tbc = new RadTextBoxControl();
    tbc.Location = new Point(150, 50);
    this.Controls.Add(tbc);

    Label l3 = new Label();
    l3.Text = "Label&3";
    l3.Location = new Point(10, 80);
    this.Controls.Add(l3);

    RadMaskedEditBox meb = new RadMaskedEditBox();
    meb.Location = new Point(150,80);
    this.Controls.Add(meb);
}

If you press Alt +2, the RadTextBoxControl will get focus. However, if you press Alt + 3, the RadMaskedEditBox will not display the caret. The control actually gets focus, but the inner text box does not.

Workaround: 
private void radMaskedEditBox1_GotFocus(object sender, EventArgs e)
{
    this.radMaskedEditBox1.MaskedEditBoxElement.TextBoxItem.TextBoxControl.Focus();
}