To reproduce:

public Form1()
{
    InitializeComponent();

    DataTable dt = new DataTable();
    dt.Columns.Add("Id", typeof(int));
    dt.Columns.Add("Name", typeof(string));
    for (int i = 0; i < 20; i++)
    {
        dt.Rows.Add(i, "Item" + i);
    }
    this.radMultiColumnComboBox1.DataSource = dt;
    this.radMultiColumnComboBox1.DisplayMember = "Name";
    this.radMultiColumnComboBox1.ValueMember = "Id";
    this.radMultiColumnComboBox1.SelectedValueChanged += radMultiColumnComboBox1_SelectedValueChanged; 
}

private void radMultiColumnComboBox1_SelectedValueChanged(object sender, EventArgs e)
{ 
    if (this.radMultiColumnComboBox1.SelectedIndex > -1)
    {
        MessageBox.Show("Test");
    }
}

NOTE: If you use a RadMessageBox, after showing the message the first time, the popup can't be closed because InvalidOperationException is thrown.

Workaround: show the message box in the RadMultiColumnComboBox.DropDownClosed event.