To reproduce:
 private void Form1_Load(object sender, EventArgs e)
 { 
     this.productsTableAdapter.Fill(this.nwindDataSet.Products); 
     this.categoriesTableAdapter.Fill(this.nwindDataSet.Categories);

     this.radGridView1.DataSource = this.productsBindingSource;
     GridViewMultiComboBoxColumn col = new GridViewMultiComboBoxColumn();
     col.DataSource = this.categoriesBindingSource;
     col.MinWidth = 200;
     col.DisplayMember = "CategoryName";
     col.ValueMember = "CategoryID"; 
     this.radGridView1.Columns.Add(col);
     this.radGridView1.AutoSizeColumnsMode = GridViewAutoSizeColumnsMode.Fill;
     this.radGridView1.CellValueChanged += radGridView1_CellValueChanged;
 }

 private void radGridView1_CellValueChanged(object sender, GridViewCellEventArgs e)
 {
     RadMessageBox.Show("CellValueChanged. Value >> " + e.Value.ToString());
 }