I tested the behavior both with RadGrid for ASP.NET and RadGrid for ASP.NET AJAX controls but in both cases I was not able to see different behavior of the RadColorPicker inside the grid and the one which is outside it.
I suppose that probably in your case the RadColorPicker inherits some style and I suggest to try to add the keyword !important after the z-index setting.
In case this does not help, please open a new support ticket and send me a small reproduction project. Please, also make sure that you are using the latest version of RadControls for ASP.NET AJAX - in case you are not, I recommend to upgrade to it and test the project again.
the Telerik team