What I would suggest in this scenario is either to use the approach that you discovered, or to move the loading panel in the content template of the window and set loading's panel IsSticky property to true.
As for the problem with the tooltip in SharePoint, I tried to reproduce the problem locally, but to no avail. It is possible for a problem like this to occur in SP because it is in quirks mode while RadControls for ASP.NET AJAX are based on the MS AJAX framework that uses XHTML doctype, but to be able to help in that case, we need to reproduce the problem locally.
Please send us a webpart that we can run locally in the support ticket you opened on the same subject and we will check it right away.
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