Thank you for contacting us.
Our controls, including RadDesktopAlert, must be shown in the primary UI thread. You will be able to implement your scenario with standard MS controls, such as Forms and MessageBoxes, since they do not share static instances, such as themes.
I hope you find this information useful. Let me know if you have further questions.
the Telerik team
Q1’11 SP1 of RadControls for WinForms is available for download; also available is the Q2'11 Roadmap for Telerik Windows Forms controls.