The expected behavior which you have described is indeed the right behavior for a SplitButton. In the CTP build there's a problem with the SplitButton which we have already fixed (also we made a separate example for the SplitButton).
Now when the user clicks on the button it activates the default item click event and when the user clicks on the arrow button the dropdown shows.
If you're interested we can send you a fixed build next week.
Btw we would be very grateful if you share with us your initial opinion about r.a.d.controls for Winforms. Do you find them useful and would you like some special feature implemented? Which is the next control which you would like to see as part of r.a.d.controls for WinForms?