This behavior is expected since the the window is opened in client side and will remain until the page is reloaded /postback-ed or navigated away.
One suggestion is to maintain the window is ajaxifying the page to avoid page refresh which in turn remain the window opened after executing server code.
Here is the forum which discusses similar scenario.
Actually we are having the Radwindow in the seperate user control and opening the radwindow based on the radwindow ID, currently we tried to set PreserveClientState="true" for the radwindow manager, now we are able to maintain the state of the radwindow even after the postback .
But in the master page we are using updatePanel but its not taking effect in the Radwindow , is it due to the use of user control ?