You can open the detail form for the currently selected object if you press Ctrl+Shift while clicking the editor. Another way is to implement your own editor, derived from the DevExpress.ExpressApp.Win.Editors.LookupPropertyEditor, which will provide a specific functionality you need.
Fact is that the LookupPropertyEditor is represented in a detail view by the LookUpEdit control, which allows various customizations. So, you can customize it by adding a special button that will invoke a Detail View for the selected object or even allow your users to create new records directly.
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See Also:
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How to add a custom button into LookupPropertyEditor to edit the currently selected record
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