Styling the controls is done through XAML - with Styles and Templates. We are constantly trying to provide more intuitive to style, fast to run and easy to use controls. Although in some cases we have to take decisions that may not seem the best for you I can assure you that they are carefully considered. RadComboBox has many advantages over the MS one and I doubt the ability to easily make it transparent is the most important one.
The controls have three or four common properties that can be set to change their appearance but inside they have many more visual elements. Using the Background, Foreground, BorderBrush, BorderThickness etc. could be used to make a single instance of a control differ from the other but it is really inconvenient to use them to actually style a control. Given the RadComboBox has at least 10 visual states with several gradients in each of them it is absolutely impossible to put a color in one of its Brush properties and achieve the picture you have imagined. You could however set its Background to Red and the RadComboBox will differ from any other RadComboBox with default Background.
As for the breaking change I am really sorry for the inconvenience but in long term we have to implement new themes and control features so the ControlTemplate is a subject to change. Please note the Telerik team is always ready to give directions and provide styles that could be used to achieve look and feel as close as possible to the previous behavior. Kjell Pinter for example got the RadComboBox exactly as he desired.
Least but not last did you really used the RadControls for Silverlight because of the RadComboBox being able to get transparent by setting its Background to Transparent? This question is really important to us as nowadays there are quite a lot of control vendors and trying to stay on top client's feedback is greatly appreciated. If the clients are picking rad controls because of their look and are really frustrated by changes in the XAML we could use your opinion now as an argument in future discussions of control and theme development.
the Telerik team
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