I have a partial solution to this problem, using the IEditorDataFilter interface (see below). This does not, however, display the custom text when the control is in edit mode. You might be able to hack that out by getting a reference to the TextBox control embedded therein, and directly setting the Text property.

public class MultiSelectDataFilter : IEditorDataFilter
{
    private UltraComboEditor comboEditor = null;
    private string displayText = null;

    public MultiSelectDataFilter( UltraComboEditor comboEditor, string displayText )
    {
        this.comboEditor = comboEditor;
        this.displayText = displayText;
    }
    #region IEditorDataFilter

    object IEditorDataFilter.Convert(EditorDataFilterConvertArgs conversionArgs)
    {
        switch ( conversionArgs.Direction )
        {
            case ConversionDirection.EditorToDisplay:
            case ConversionDirection.DisplayToEditor:
                if ( this.comboEditor.CheckedItems.Count > 1 )
                {
                    conversionArgs.Handled = true;
                    return this.displayText;
                }  
                break;
        }

        return conversionArgs.Value;
    }

    #endregion IEditorDataFilter
}