I think it is not too good idea to have shape-file "as is" in the database. When you use a folder of Web server for shape files then most often this problem occurs in published projects when MIME types for shp and dbf files are not defined on the web server.
Please check that MIME types for using shape files are defined:
Extensions: .shp and .dbf
MIME type: application/octet-stream
Also you can check if an error occurs during loading of shape files. You can use the PreviewReadCompleted or ReadCompleted event to check the eventArgs.Error property. It returns the exception when the error occurs.
the Telerik team
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