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

Workaround:

 this.radMultiColumnComboBox1.MultiColumnComboBoxElement.TextBoxElement.TextBoxItem.TextBoxControl.MouseDown += TextBoxControl_MouseDown;

        private void TextBoxControl_MouseDown(object sender, MouseEventArgs e)
        {
            this.radMultiColumnComboBox1.MultiColumnComboBoxElement.TextBoxElement.TextBoxItem.TextBoxControl.SelectAll();
        }