I am using http://blogs.microsoft.co.il/blogs/justguy/archive/2009/01/19/wpf-combobox-with-checkboxes-as-items-it-will-even-update-on-the-fly.aspx?CommentPosted=true#comment
I had stumbled upon this exact problem. There is a problem with the XAML file.
SolidBorderBrush is missing from the XAML. By adding it, the sample works fine.
Bellow follows the complete contents of the XAML file.