I have found out why the context menu did not keep open. It was because the page is nested in a master page and you must put the full control name in the ContextMenuElementId property. The context control is "FpSpreadDashboard" but in a master page the "_ctl0_ContentPlaceHolder_" prefix is insert before the control id ("ContentPlaceHolder" is the ContentPlaceHolderID property of my nested page) : <asp:Content ID="Content1" ContentPlaceHolderID="ContentPlaceHolder" runat="Server">
So it must be:
Let me know if there is another way of dealing with RadMenu within a master page.