I am afraid that the scenario, you attempt to implement is not supported. The reason is that RadComboBox's items loaded on demand are not accessible on the server which is needed for the CheckBox feature. On the other hand, implementing a filter functionality with a CheckBoxes feature enabled is also not supported. This is because, when you check certain item, its text is appended in the input of the control, while the searching is implemented regarding the typed in the input text, which makes these two features incompatible. Here
you could find our help article, describing the aforementioned limitations.
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