To reproduce: please refer to the attached gif file. 

Workaround: 

public RadForm1()
{
    InitializeComponent();

    this.radGridView1.CellClick+=radGridView1_CellClick;
}

private void radGridView1_CellClick(object sender, Telerik.WinControls.UI.GridViewCellEventArgs e)
{
    if (e.Column is Telerik.WinControls.UI.GridViewRowHeaderColumn)
    {
        this.radGridView1.CloseEditor();
    } 
}