You're right, the focus returns after leaving the window, though this wasn't a bug but rather intended behavior to ease the keyboard navigation in RadMenu - to move the item focus to the parent item when the child submenu is closed on mouseout. However since applying this by default changes slightly the behavior of RadMenu and mixed usage of mouse and keyboard navigation is seldom used, I've partially reverted the change and modified the way the subitem focus is removed. The fix will be available with the next internal build and the next service pack.
Let me know if the change helps (along with the previous handler).
the Telerik team