Thank you for the writing.
I can confirm this behavior - currently you cannot make RadDropDownList corners rounded. We will try to provide a fix for this in one of our next releases.
Do not hesitate to contact us if you have other questions.
the Telerik team
Q1’11 SP1 of RadControls for WinForms is available for download
; also available is the Q2'11 Roadmap
for Telerik Windows Forms controls.