This is actually the default behavior of RadSearchBox because when a user just click "Enter" or the search button there is actually no value -and you can search in only by the text that is typed. If an item from the drop down is selected you have more information (like Value) by which you will be able to search.
Hope this will explain the issue. If you have further questions please let me know.
All the best,
the Telerik team
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