Hi James Keller,
Unfortunately it is a known issue that calendar cell styles set on DayRender are not applied properly after ajax request when RadCalendar is ajaxified with RadAjax. This is due to the DayRender event fires too late, after RadAjax has already been updated the calendar.
A possible workaround is to ajaxify your calendar via asp UpdatePanel instead of using RadAjax.
Another option is to add your highlighted days to the SpecialDays collection of the calendar on Page_Load for instance.
Let us know how it goes.
the Telerik team