You can handle the CurrentCellClosedxropDown event and access the list at that point to get the SelectedIndex.
private void gridControl1_CurrentCellCloseDropDown(object sender, PopupClosedEventArgs e)
{
GridCurrentCell cc = this.gridControl1.CurrentCell;
GridComboBoxCellRenderer cr = cc.Renderer as GridComboBoxCellRenderer;
if(cr != null)
{
Console.WriteLine(cr.ListBoxPart.SelectedIndex);
}
}