Straight to your question:
The font is defined in the CSS file for the particular skin chosen, in your case Windows7, and the style is defined in the base CSS file since it's common for all skins.
Regarding your query on why there is no EmptyMessageStyle-Font-Bold property, there are two main reason.
RadCombobox is developed to reflect the behavior of the standard DropDown, and since there is no such property in the standard control, we haven't implemented it in our control either.
The second and most important reason why this is not implemented is the overall performance of the control. Whit the amount of properties growing the serialized information send by the server to the client when the control is instantiated on the client is also growing. That's why we've adopted the approach to set these different style in the CSS of the control in order to make it as lightweight as possible.
The solution suggested by my colleague is not a hack, but a standard approach to set your custom styles to the "Empty Message" of the RadComboBox.
As for the RadTextBox control, it has style properties because it's not so complicated in terms of functionality and the amount of serialized data is not affecting its performance.
the Telerik team