When RadGridView sets the cell value it performs a search in the ItemsSource of the ComboBoxColumn and tries to find an exact match to the value of the cell.
The behavior you describe is typically a result of the fact RadGridView can not match a value in the ItemsSource of the combo with the value in the cell.
(the match uses the Equals() method) . Typically such problem occurs when you bind to a custom object rather than a primitive property e.g. you use a list of Country objects instead of list of integer Country ID's. A possible solution may be to override the Equals() in the country object, or use the same instances so that they can match.
If all that sounds messy , you are always welcome to send me your project in a support ticket and I will gladly make the modifications necessary.
All the best,
the Telerik team