There's a "Copy" Option that's Visible and Enabled in the default ContextMenu but it doesn't seem to do anything. If there's no default behavior when you select it, then it shouldn't be in the default ContextMenu at all. If users want a Copy option, they can customize / replace the ContextMenu.
I don't see any Event that might be triggered by it. If there's an Override-able Method it calls, as usual, it's doesn't seem to be documented.
FYI, I thought a good use for it would be to do the same thing that the following KB article implements for the Ctrl-C key (namely copying the CurrentRow's Cells, delimited by Tab's and terminated by a Line Feed, to the Clipboard). I overrode it's handler to do so.
Telerik WinForms 2009Q2 (2009.2.9.729), VB, .Net 2.0 (2.0.50727), VS 2005 (v8.0.50727.762 SP.050727-7600), XP SP3, Core2Duo 2.99GHZ with 3GB.