The behavior you describe is not supported out of the box. Note that the selected cells in RadGrid are essentially HTML elements. If you would like to copy the values from them you would need to implement custom logic.
There is a code library that illustrates how you can use copy-paste in the RadGrid control. Give it a try and see how it works for you.
With that said, if you would like to copy the values from table cells directly you should consider using the RadSpreadsheet control. If provides the behavior you describe out of the box.
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