The explained scenario is expected - you are editing the whole Recurrence and this is the default behavior of the RadScheduleView in this case.
There is a way to save the recurrence exceptions for this particular scenario in the code behind. You should save the exceptions using AppointmentEditing event and add them into RecurrenceRule.Exceptions using AppointmentSaving event.
Please, take a look at the attached sample.
We hope that the solution will fit with your needs.
the Telerik team