There is no openFileDialog with the RadControls. You could make one using a form and a treeview, but it would probably take more effort than it's worth.
The RadMessageBox is the one true replacement for Windows dialogs.
You can find out a bit more about Telerik forms and dialogs here: http://www.telerik.com/products/winforms/forms-and-dialogs.aspx
If you submit a feature suggestion to Telerik, it will be logged on their Public Issue Tracking system as a feature request so others can vote for it too.
Hope that helps