If you generate the template of RadComboBox in Blend and examine the template structure, you will notice that there are a few Borders inside. Only one of them however is template-bound to the BorderBrush value. So what happens is that when your DataTrigger gets triggered and the red border appears, the focus border (and consequently the mouse over border) appears on top of it.
I suggest that you take the approach demonstrated in the attached sample - add one more border in the template structure after all original borders. It will serve the purpose of signalling when the data triggers is executed. Search for "NOTE" in the attached sample to localize the key spots.
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