We agree that this behavior is not so user friendly. Currently pressing Escape is linked to the Cancel button in the template of the control and that is why it is not working for Alert window. I have entered your request in our PITS, you can follow its progress and vote for it here
As a workaround you can edit the template of the Alert window and add the functionality. I have attached a sample project where I have added a dummy cancel button with Visibility=Collapsed
that handles the Escape key so the RadAlert is closing. Hope this suits your scenario.
Let me know if you have further questions.
the Telerik team
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