I think that this is an oversight. OnClientDialogClosing is only fired when the spell check is finished. This happens when the user clicks the close button at the bottom or all wrong words are fixed. The event fired when you click the X in the previous spell control, because it had a custom dialog implementation. RadSpell for ASP.NET AJAX uses a normal RadWindow control and I think that it would not be difficult to wire the window closing event to the spell OnClientDialogClosing handler. I will write this as a feature request for the next release.
the Telerik team