I've worked on this problem Alain and here is the fix. The problem isn't with the RadComboBox itself, it's the TextBox control inside its template that's causing the undesirable behaviour.
Unfortunately the text selection functionality in the TextBox has a SelectAll function which selects text from Left to Right forcing the cursor to the end of the text and cannot be changed or overridden. If you generate a Style of the RadComboBox with Blend you will notice a control called PickerTextBox named
PART_EditableTextBox, this essentially inherits TextBox. All you need to do is inherit the RadComboBox and overide the OnLostFocus handler to place the cursor back to the start when the focus is lost.
Here is the Code for the custom control. The project I created it for was in VB so just use a C# code converter if need in c#.
Be sure to add a copy of the RadComboBox default style to your Generic.xaml file containing your default style of the new Control and replace all RadComboBox TargetTypes by ctwRadComBox or any class name of your choosing. Or you can simply remove DefaultStyleKey in the Constructor and let RadComboBox draw the control. Hope this helps.
Mark me as answered if it works :).