To reproduce: please refer to the attached sample project which result is illustrated in the attached gif file. The DropDownClosed is expected to be fired when the drop down is already closed. Hence, showing a message box shouldn't keep the drop down opened. The problem is reproducible with RadDropDownList as well. Note that this problem is not applicable for MS ComboBox.

Workaround:  this.radMultiColumnComboBox1.MultiColumnComboBoxElement.DropDownAnimationEnabled = false;