Populate RadMultiColumnComboBox with data and enable the auto filter functionality. Apply a CompositeFilterDescriptor with two text columns. Try to filter entering several letters and press Tab. You will notice that the SelectedIndexChanged event is not fired in this case. However, if only one FilterDescriptor is added, not a CompositeFilterDescriptor, the selection will be properly updated.
Please refer to the attached sample project and gif file which illustrates the behavior.
Currently, the possible solution that I can suggest is to create a single text column that contains the concatenated value of the two columns that participate in the filter. Then, you can apply only a single FilterDescriptor and the selection will be properly updated.
Alternatively is to use the custom filtering behavior of the hosted grid control which can be accessed by the EditorControl property.