No, I do not think there is a way to manually show a tooltip per item in the UltraOptionSet.  You might be able to get around showing your own tooltip, though, but you'd have to get the relevant information from the UIElements and the mouse cursor.  Your code might look like the following:

     Private Sub UltraOptionSet1_MouseHover(ByVal sender As Object, ByVal e As System.EventArgs) Handles UltraOptionSet1.MouseHover
        Dim point As Point = Me.UltraOptionSet1.PointToClient(Cursor.Position)
        Dim element As Infragistics.Win.UIElement = Me.UltraOptionSet1.UIElement.ElementFromPoint(point)
        If Not element Is Nothing Then
            Dim optionItem As Infragistics.Win.ValueListItem
            optionItem = element.GetContext(GetType(Infragistics.Win.ValueListItem))
            If Not optionItem Is Nothing Then
                'Show a tooltip based on the optionItem.DisplayText or DataValue
            End If
        End If
    End Sub

-Matt