Please refer to the attached sample project.

Workaround:

public class MyGridCheckBoxCellElement : GridCheckBoxCellElement
{
    public MyGridCheckBoxCellElement(GridViewColumn column, GridRowElement row) : base(column, row)
    {
    }

    protected override Type ThemeEffectiveType
    {
        get
        {
            return typeof(GridCheckBoxCellElement);
        }
    }

    public override bool IsCompatible(GridViewColumn data, object context)
    {
        GridViewCheckBoxColumn col = data as GridViewCheckBoxColumn;
        if (col != null)
        {
            return col.ThreeState == ((RadCheckBoxEditor)this.Editor).ThreeState;
        }
        return base.IsCompatible(data, context);
    }
}

private void radGridView1_CreateCell(object sender, GridViewCreateCellEventArgs e)
{
    if (e.CellType == typeof(GridCheckBoxCellElement))
    {
        e.CellElement = new MyGridCheckBoxCellElement(e.Column, e.Row);
    }
}