I have reproduced this in a small application. 

Steps:

1. Create a new Windows Form Application.
2. Drop an UltraCombo on the form.
3. Do not let the wizard finish; click Finish to close it.
4. Update the properties of the UltraCombo setting how it should react to selections, etc.
5. Add another control to show that the UltraCombo will take focus and never let go until opened and dorked with.
6. UltraCombo should be first in the tab order.
7. Add the code in the main Form.CS file.
8. Run and never die.

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:

• Infragistics v9.1.
• Window 7 64-bit OS.
• .NET 3.5

I've attached a ZIP of the project.  Let me know how to work around this very nasty little bugger.