To use RadWindow's ContentTemplate with AJAX you need to provide explicit AJAX configuration inside it, as shown here: http://www.telerik.com/help/aspnet-ajax/window-ajaxifying.html.
Also note that it is best to move that RadWindow out of the RadWindowManager when its ContentTemplate is used (see the last point here: http://www.telerik.com/help/aspnet-ajax/window-controls-container.html). A RadWindow can work just fine without a RadWindowManager
Also, I advise that you make sure you do not nest AJAX settings and RadAjaxPanel, as explained here: http://www.telerik.com/help/aspnet-ajax/ajax-controls-in-ajaxpanel-and-ajaxsettings.html.
By far, the best advice I can offer is to use the built-in confirmation dialog for the RadGrid: http://www.telerik.com/help/aspnet-ajax/grid-adding-delete-prompt.html. Just add a RadWindowManager to the page, add a GridButtonColumn with CommandName=Delete and set its ConfirmDialogType property to RadWindow. In case you need a special look and feel for the confirm dialog, you can change its template: http://www.telerik.com/help/aspnet-ajax/window-dialogs-changing-dialog-templates.html.
If this is not an option, you will need an AJAX setting that includes the grid whose initiator is the OK button, so you will need to rewrite the entire AJAX logic (e.g., replace the RadAjaxPanel with ASP:Panel and use that as updated control).
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