To reproduce: use the attached project and follow the steps from the gif file

Workaround: use a custom autocomplete helper:

private void radGridView1_CellEditorInitialized(object sender, GridViewCellEventArgs e)
{
    RadDropDownListEditor editor = e.ActiveEditor as RadDropDownListEditor;
    if (editor != null)
    {
        RadDropDownListEditorElement editorElement = (RadDropDownListEditorElement)editor.EditorElement;
        editorElement.DropDownStyle = Telerik.WinControls.RadDropDownStyle.DropDown;
        editorElement.AutoCompleteMode = AutoCompleteMode.SuggestAppend;
        editorElement.AutoCompleteSuggest = new CustomAutoCompleteSuggestHelper(editorElement);
    }
}

public class CustomAutoCompleteSuggestHelper : AutoCompleteSuggestHelper
{
    public CustomAutoCompleteSuggestHelper(RadDropDownListElement owner) : base(owner)
    {
    }

    public override void ApplyFilterToDropDown(string filter)
    {
        if (filter.Length > 3)
        {
            base.ApplyFilterToDropDown(filter);
        }
    }
}