Unfortunately the behavior you are seeing is intended and cannot be changed - in order to provide keyboard navigation (move the selection with the arrow keys), the menu items get the focus when they are activated (when ClickToOpen is true - on click, otherwise - on mouse over). We are considering changing this behavior, or at least allowing the developers to disable it with a property, but to my regret this could happen after Q2 2010 SP1 at the earliest.
the Telerik team
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