Indeed, there is a problem with this property for the masked textbox control.
I have logged it into our system, and alerted our developers. They will soon address this issue.
Additionally, I have updated your Telerik points as a token of gratitude, for bringing this discrepancy to our attention.
I just tested the functionality and it works as expected with our latest release. Note that in order for the EmptyMessage to be displayed for the RadMaskedTextBox you need to set the HideOnBlur property to True as explained in this help article.
the Telerik team
Do you want to have your say when we set our development plans?
Do you want to know when a feature you care about is added or when a bug fixed?
Telerik Public Issue Tracking
system and vote to affect the priority of the items