As you probably know Silverlight doesn't offer support for RightClick. So we made some workaround to catch right click from the browser (this is why right click is working only in windowless mode). All our controls that are using Popups to show as RadWindow are registered in a special collection and when you click with the right button we are going through all opened popups to see if there is an element that is listening to right click.
ChildWindow popup is not registered in our collection of opened popups so it is normal to not get notified. As a workaround I can suggest you to use RadWindow.
the Telerik team