The Telerik support ticket told me it couldn't be done, what was happening was that the event was firing, but the autopostback wasn't happening due to issues with using both properties at the same time. When the autopostback happens then the datasources typically automatically re-bind. They weren't when making selections AFTER making the first selection due to the MarkFirstMatch and Checkboxes properties being enabled.
What I did was force databinds for my objects that rely on the current combobox's selected option in the index changed event. I then noticed that the ComboBox fires the selected index changed event even if the user opens the combobox, but doesn't actually make a change. This can be annoying if your comboboxes have a lot of data and take 2-3 seconds to rebind.
To fix the rebinding when no changes were made I then added an IF statement to the event to determine if any changes actually happened to the selection of checkboxes in the combobox and if there was a change, then rebind, if not then don't do anything. Here's my code.
lblSelectedCountries.Text = ShowCheckedItems(rcbCountry)
selectedCountriesOld <> lblSelectedCountries.Text