Workaround: use custom editor element

private void radGridView1_EditorRequired(object sender, EditorRequiredEventArgs e)
{
    if (e.EditorType == typeof(RadMultiColumnComboBoxElement))
    {
        e.EditorType = typeof(MyRadMultiColumnComboBoxElement);
    }
}

public class MyRadMultiColumnComboBoxElement : RadMultiColumnComboBoxElement
{
    protected override Type ThemeEffectiveType
    {
        get
        {
            return typeof(RadMultiColumnComboBoxElement);
        }
    }

    protected override void ProcessKeyDown(object sender, KeyEventArgs e)
    {
        base.ProcessKeyDown(sender, e);

        FieldInfo fi = this.GetType().BaseType.BaseType.GetField("oldTextValue", BindingFlags.Instance | BindingFlags.NonPublic);
        fi.SetValue(this, this.textBox.Text.Substring(0, this.textBox.SelectionStart));
    }
}