Please, note that when closing a pane, the PaneStateChanged won't be fired. In this case I would suggest handling the RadDocking.Close event. The PaneStateChanged event will be fire when a pane is pinned, unpinned and floated and docked.
We tested the given scenario and we truly found a bug that the docking layout is not saved correctly on PaneStateChanged when a floating pane is docked into a group. We logged it in our PITS and you could vote for it and track its progress here - http://www.telerik.com/support/pits.aspx#/public/silverlight/13531
I would suggest saving the Docking layout on a closing the application, for example. The PaneStateChanged is not the best point for saving, because the docking will not save the correct position of the ToolWindows (when a ToolWindow is moved, the PaneStateChanged won't be fired).
the Telerik team