When a modal RadWindow is opened, its goes through all elements on the page and removes their tabIndex attributes, so it can disable keyboard navigation. If your RadWindows have their ContentTemplate used this means that the contents of the second one will already have their tabIndexes removed by the time you open it.
To avoid that, you can use an entire content page for the dialogs.
You will probably find useful the following code library that will show you how to link the dialogs and pass data back and forth: http://www.telerik.com/support/code-library/creating-parent-child-relationships-between-radwindows-and-passing-data-between-them.
On a side note - according to accessibility specifications, modal dialogs must have default focus set, and since the content is arbitrary, it is up to the developer to provide that focus.
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