I'm currently running Silverlight 4 and Telerik RadControls for Silverlight 4 2010 Q1 SP1, and whether I use set the windowless option or not, I am unable to get the context menu to open up out of browser.
As I said, Out of Browser, I do not get my context menu, only the default Silverlight menu. In IE, my context menu opens just fine.
I even went as far as to just create a basic Silverlight application with a RadGrid, some column definitions and a context menu, and I was able to reproduce the issue.
I've attached a couple of screen shots that show the behavior.