Thanks for you answer. Your video seems indeed to demonstrate that there's no problem regarding the Telerik component (which is fortunate!).
I tried to remove all optional attributes (Style, Converter, etc.) in order to see if they were causing this behaviour somehow, but no change, still no call to the setter when the focus is lost...
My radNumericUpDown is embedded in a bunch of other controls though (it's in the <DataTemplate> of a <DataGridTemplateColumn.CellTemplate>), so the root cause is probably located in those parent controls' configurations.
I'll keep looking for the cause and try to isolate a stand-alone sample that reproduces the issue to post here.
Thanks for your investigation