When you have server controls as templates the usage of load on demand is not supported. This is just a limitation of the asp.net framework.
On other hand you could use the load on demand mechanism of the RadTreeView when embedded in RadComboBox. The following code library shows such implementation: Load On Demand TreeView in ComboBox
About searching for RadTreeView items when typing in the RadComboBox's input field, you could refer to the following KB section at our website: Search for TreeView items in ComboBox
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