If performance is really an issue, I would create a new class on top of an existing one, implementing the standard interfaces, like this:

    public class RememberMaxDictionary<K, V> : IDictionary<K, V> where K: IComparable<K>
    {
        private Dictionary<K, V> _inner;

        public RememberMaxDictionary()
        {
            _inner = new Dictionary<K, V>();
        }

        public K MaxKey { get; private set; }

        public void Add(K key, V value)
        {
            _inner.Add(key, value);

            if (key.CompareTo(MaxKey) > 0) // test null if needed
            {
                MaxKey = key;
            }
        }

    ... TODO implement the rest...