I suggest you give the try catch block in the corresponding page code behind instead of giving the same in the class inside App_Code. Even if an exception is generated from the VB code present in the App_Code, the exception will be captured in the catch statement coded in the page code behind and there you can add a RadWindowManager and display the error in a RadAlert. As far as I know the main purpose of App_Code folder is to include the source code for shared classes and business objects and it is not a best practice to include Controls here.
Please have a look at the following code I tried to display the exception message generated from the VB code in a RadAlert from the corresponding page's code behind. In the following code SqlService is a class in the App_Code folder.
rad1.RadAlert(ex.Message, 500, 200,
Hope this helps,