I have reproduced this in a small application.
Steps:
When the application is run, focus will be set to the UltraCombo. At that point, try to "X" out of the application. The code for Closing will be called but never the code for Closed meaning that you and your application will live forever!
I've reproduced this in two other applications.
Data:
I've attached a ZIP of the project. Let me know how to work around this very nasty little bugger.
You have LimitToList set to true which by default retains focus when the control's value does not match an item in the list. To prevent this, you can handle ItemNotInList and set the RetainFocus property of the event arguments to false.