I wasn't able to find any straight forward way, but I came up with a bit of a kludge if anyone's interested...
void OnPreviewClose(object sender, Telerik.Windows.Controls.Docking.StateChangeEventArgs e)
RadPane pane = e.Panes.ToList();
Point pt = Mouse.GetPosition(pane);
if (pt.X <= pane.ActualWidth)
// the close came from the pane
// the close came from the group
Still, it would be nice if there were some property that could be tested.