I was not able to reproduce the described behavior. When I pick an item from the dropdown list and close the editor, I get the value member of the RadListDataItem saved to the cell. I am attaching a sample project which demonstrates this.
I hope this helps.
the Telerik team
Q2’11 SP1 of RadControls for WinForms is available for download (see what's new); also available is the Q3'11 Roadmap for Telerik Windows Forms controls.