With the control like this:

this.xmceEntities.AllowMultipleSelection = true;
this.xmceEntities.DisplayMemberPath = "CompanyId";
this.xmceEntities.CheckBoxVisibility = Visibility.Visible;

To get selected data works perfectly with the property SeledtedItems

But when we need to set them i use a code like this:

/// <summary>

/// List of selected entities
/// </summary>
public override IList<Company> SelectedEntities
{
get
{
    ....
}
set
{
this.xmceEntities.SelectedItems.Clear();
foreach (var item in value)
{
this.xmceEntities.SelectedItems.Add(item);
}

....

}
}

The display text show the companies ids as selected:

[1, 3, 5       ]

But in dropdown no one have the checkbox selected.