Nadella,
I was working on the same requirement before (multiselect for webcombo) but as I figured it's not directly supported my work-around was to have a checkbox column in the webcombo. (that is technically, the webgrid inside the webcombo).
If it would be any use, you can check it here Multiselect Webcombo
It doesn't have the additional requirement you have though (being able to add new values) but it is possible with the UltraWebGrid, and the webcombo is basically a wrapper around a webgrid, it would seem possible.
Hope this helps somehow.
At this time, WebCombo allows for single item selection only. If you would like to see the combo allow for mutli select, or have any other suggestion for a feature in a control, you can submit a Feature Request through our Developer Support staff