[DXCategory("Events")]
public event ProcessNewValueEventHandler ProcessNewValue

<DXCategory("Events")>
Public Event ProcessNewValue As ProcessNewValueEventHandler

using System;
using System.Windows.Forms;
using System.Collections.Generic;
using DevExpress.XtraEditors;
using DevExpress.XtraEditors.Controls;

public Form1() {
    InitializeComponent();
    // Binds the lookup to data.
    lookUpEdit1.Properties.DataSource = Task.GetSampleData();
    // Sets the lookup's data fields.
    lookUpEdit1.Properties.DisplayMember = "Caption";
    lookUpEdit1.Properties.ValueMember = "ID";
    // Sets the lookup's value.
    lookUpEdit1.EditValue = 0;
    // Enables adding new values.
    lookUpEdit1.Properties.TextEditStyle = TextEditStyles.Standard;
    lookUpEdit1.ProcessNewValue += new ProcessNewValueEventHandler(this.lookUpEdit1_ProcessNewValue);
}
private void lookUpEdit1_ProcessNewValue(object sender, ProcessNewValueEventArgs e) {
    if((string)e.DisplayValue == String.Empty) return;
    if(XtraMessageBox.Show("Do you want to add a new value?", "Confirm", MessageBoxButtons.YesNo, MessageBoxIcon.Question) == DialogResult.Yes) {
        List<Task> dataSource = (sender as LookUpEdit).Properties.DataSource as List<Task>;
        dataSource.Add(new Task(dataSource.Count) { Caption = (string)e.DisplayValue });
        e.Handled = true;
    }
}

public class Task {
    int fID;
    public Task(int id) {
        fID = id;
        CreateDate = DateTime.Today;
    }
    public int ID {
        get {
            return fID;
        }
    }
    public string Caption { get; set; }
    public DateTime CreateDate { get; set; }
    public static List<Task> GetSampleData() {
        return new List<Task>() {
            new Task(0){Caption = "Research", CreateDate = new DateTime(2022, 10, 15)},
            new Task(1){Caption = "UI Design", CreateDate = new DateTime(2022, 11, 5)},
            new Task(2){Caption = "Environment Setup", CreateDate = new DateTime(2022, 11, 10)},
            new Task(3){Caption = "Sprint 1", CreateDate = new DateTime(2022, 11, 11)},
            new Task(4){Caption = "Sprint 2", CreateDate = new DateTime(2022, 12, 12)},
            new Task(5){Caption = "Sprint 3", CreateDate = new DateTime(2023, 1, 10)},
            new Task(6){Caption = "Testing", CreateDate = new DateTime(2022, 2, 10)}
        };
    }
}

Imports System
Imports System.Windows.Forms
Imports System.Collections.Generic
Imports DevExpress.XtraEditors
Imports DevExpress.XtraEditors.Controls

Public Sub New()
    InitializeComponent()
    ' Binds the lookup to data.
    lookUpEdit1.Properties.DataSource = Task.GetSampleData()
    ' Sets the lookup's data fields.
    lookUpEdit1.Properties.DisplayMember = "Caption"
    lookUpEdit1.Properties.ValueMember = "ID"
    ' Sets the lookup's value.
    lookUpEdit1.EditValue = 0
    ' Enables adding new values.
    lookUpEdit1.Properties.TextEditStyle = TextEditStyles.Standard
    AddHandler lookUpEdit1.ProcessNewValue, AddressOf lookUpEdit1_ProcessNewValue
End Sub
Private Sub lookUpEdit1_ProcessNewValue(ByVal sender As Object, ByVal e As ProcessNewValueEventArgs)
    If CStr(e.DisplayValue) = String.Empty Then
        Return
    End If
    If XtraMessageBox.Show("Do you want to add a new value?", "Confirm", MessageBoxButtons.YesNo, MessageBoxIcon.Question) = DialogResult.Yes Then
        Dim dataSource As List(Of Task) = TryCast((TryCast(sender, LookUpEdit)).Properties.DataSource, List(Of Task))
        dataSource.Add(New Task(dataSource.Count) With {.Caption = CStr(e.DisplayValue)})
        e.Handled = True
    End If
End Sub

Public Class Task
    Private fID As Integer
    Public Sub New(ByVal id As Integer)
        fID = id
        CreateDate = Date.Today
    End Sub
    Public ReadOnly Property ID() As Integer
        Get
            Return fID
        End Get
    End Property
    Public Property Caption() As String
    Public Property CreateDate() As Date
    Public Shared Function GetSampleData() As List(Of Task)
        Return New List(Of Task)() From {
            New Task(0) With {.Caption = "Research", .CreateDate = New Date(2022, 10, 15)},
            New Task(1) With {.Caption = "UI Design", .CreateDate = New Date(2022, 11, 5)},
            New Task(2) With {.Caption = "Environment Setup", .CreateDate = New Date(2022, 11, 10)},
            New Task(3) With {.Caption = "Sprint 1", .CreateDate = New Date(2022, 11, 11)},
            New Task(4) With {.Caption = "Sprint 2", .CreateDate = New Date(2022, 12, 12)},
            New Task(5) With {.Caption = "Sprint 3", .CreateDate = New Date(2023, 1, 10)},
            New Task(6) With {.Caption = "Testing", .CreateDate = New Date(2022, 2, 10)}
        }
    End Function
End Class

gridLookUpEdit1.Properties.DisplayMember = gridLookUpEdit1.Properties.ValueMember;
gridLookUpEdit1.ProcessNewValue += GridLookUpEdit1_ProcessNewValue;

gridLookUpEdit1.Properties.DisplayMember = gridLookUpEdit1.Properties.ValueMember
    AddHandler gridLookUpEdit1.ProcessNewValue, AddressOf GridLookUpEdit1_ProcessNewValue
End Sub