Indeed there are some known performance issues with "ComboBox" columns. The problem comes from the fact that for every single cell from that column a new ComboBox control is created, which means the entire "ItemsSource" is loaded and then this "ItemsSource" is searched in order to get the selected value. The best approach if you are using a lot of items as ComboBox.ItemsSource is to use separate cell templates for view and edit. You can customize the view template to be an ordinary TextBlock, while edit template to be ComboBox. This setup will load "ItemsSource" only when cell enters into an edit mode and overall performance will increase significantly. For more information how to use different CellTemplates you can take a look at this online example. The example is for Silverlight but same applies to WPF as well.
the Telerik team