Thank you for writing.
Currently, the RadMultiColumnComboBox has the same theme as RadComboBox. From the next version, however, the RadComboBox will be removed from our controls suite and the RadMultiColumnComboBox will have its own theme and will be available for theming in the VisualStyleBuilder. So until our next release you will have to style the RadComboBox in order to change the look of the RadMultiColumnComboBox.
I hope this will be useful for you. Should you have further questions, feel free to write back.
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.