I tried to reproduce your problem but without avail - the alert I get is with the WebBlue skin and not with the Default one. Please, make sure that you do not have another RadWindowManager declared earlier on the page, before this one. Another possible reason is to have a RadWindowManager in your ContentPlaceHolder, its settings will take priority.
In case this does not help you, please, open a support ticket and send us a sample project which reproduces the issue.
the Telerik team