To reproduce: please refer to the attached sample project and gif file.

Workaround: use the CellFormatting event and apply the light orange BackColor for the selected cells belonging to the current pinned column:

private void radGridView1_CellFormatting(object sender, Telerik.WinControls.UI.CellFormattingEventArgs e)
{
    if (e.Row.IsSelected && e.Column.IsCurrent)
    {
        e.CellElement.BackColor = Color.FromArgb(255, 231, 174);
    }
    else
    { 
        e.CellElement.ResetValue(LightVisualElement.BackColorProperty, ValueResetFlags.Local);
    }
}