To reproduce:
- Bind the control to some data
- Change the text like this:
private void radButton1_Click(object sender, EventArgs e)
{
    radCheckedDropDownList1.Text = "All;Privileged;";
}

- Open the drop down.

Workaround 
- Check the items directly:
private void radButton1_Click(object sender, EventArgs e)
{
    radCheckedDropDownList1.Items[0].Checked = true;
    radCheckedDropDownList1.Items[2].Checked = true;
}