To reproduce:
this.radGridView1.MultiSelect = true;
this.radGridView1.SelectionMode = Telerik.WinControls.UI.GridViewSelectionMode.CellSelect;

radGridView1.ShowRowHeaderColumn = false;

Then select the cells in the firs column by dragging the mouse.

Workaround:
// radGridView1.ShowRowHeaderColumn = false;
radGridView1.TableElement.RowHeaderColumnWidth = 0;