Get the value of combo box and set the value after inserting the new row explicitly.
i.e.
function CreateNewGridRow() {
var selectedValue = $('#comboBoxId').data('kendoComboBox').value();
var grid = $("#SubGridSecuritySection").data("kendoGrid");
if (grid) {
var dataSource = grid.dataSource;
var total = dataSource.data().length;
dataSource.insert(total, {});
}
$('#comboBoxId').data('kendoComboBox').value(selectedValue );
}