Hi Mike,
               I have one ultra combo and Windows ComboBox in one winform with following settings :

        private void Form1_Load( object sender, EventArgs e )
        {
          //creating dummy data
            DataTable dt = new DataTable();
            DataColumn col = new DataColumn( "ID", typeof( int ) );
            dt.Columns.Add( col );
            col = new DataColumn( "Name", typeof( string ) );
            dt.Columns.Add( col );

            DataRow row = dt.NewRow();
            row [ 0 ] = 1;
            row [ 1 ] = "aa";
            dt.Rows.Add( row );
            row = dt.NewRow();
            row [ 0 ] = 2;
            row [ 1 ] = "bb";
            dt.Rows.Add( row );

            dt.AcceptChanges();           

            DataTable business = new DataTable();
            col = new DataColumn( "BID", typeof( int ) );
            business.Columns.Add( col );
            row = business.NewRow();
            row [ 0 ] = 2;
            business.Rows.Add( row );

            //Win combo
            this.comboBox.DataSource = dt;
            this.comboBox.DisplayMember = "Name";
            this.comboBox.ValueMember = "Id";
            this.comboBox.DataBindings.Add( "SelectedValue", business, "BID", true, DataSourceUpdateMode.OnPropertyChanged );
            this.comboBox.SelectedValue = -1;
            this.comboBox.SelectedValueChanged += new EventHandler( comboBox1_SelectedValueChanged );

            //Ultra combo
            ultraCombo.AllowNull = Infragistics.Win.DefaultableBoolean.True;
            ultraCombo.NullText = "Unassigned";           
            ultraCombo.DataSource = dt;
            ultraCombo.ValueMember = "Id";
            ultraCombo.DisplayMember = "Name";
                       
            ultraCombo.DataBindings.Add( "Value", business, "BID", true, DataSourceUpdateMode.OnPropertyChanged );
            ultraCombo.Value = null;
            ultraCombo.ValueChanged += new EventHandler( ultraCombo_ValueChanged );
        }

        void comboBox1_SelectedValueChanged( object sender, EventArgs e )
        {
            MessageBox.Show( "Win : selected index changed" );
        }

        void ultraCombo_ValueChanged( object sender, EventArgs e )
        {
            MessageBox.Show( "Ultra combo : selected index changed" );
        }

If focus is in UltraCombo and selected value is null, On Close of form it is firing ValueChange event.
I tried same thing with windows ComboBox and it works fine(It wont fire value change event on form close).
Is there any way to stop this thing? Because in ValueChange event I am setting some flags and based on it I am showing warning message to save the changes. In my case without doint anything if we close form it is asking for Save.
Please reply me as soon as possible.