We will certainly consider implementing support for JSONP in our data services implementation. It is just that it will use the same approach used by the example you provided. And it cannot be part of our OpenAccessDataService<T> provider, so the only solution would really be to be generated by the WCF Data Services wizard or the new "Generate OpenAccess Domain Service..." wizard. Either way we will immediately put some effort into documenting this in a better way.
I would like to thank you for taking the time to request this feature, your input is in fact very valuable.
the Telerik team
SP1 for Q3’11 of Telerik OpenAccess ORM is available for download.