Thank you for your feedback. We are aware of this issue. Currently if you click outside of the menu or its submenus the menu will close, but if you click on a control that handles MouseLeftButtonDown (like Button or ScrollBar) the menu will not close. At the moment Silverlight 2 does not allow us to process events that are already handled and this prevents us from effectively resolving this problem.
We are currently working on a workaround and most probably a fix will be available in SP1 which is scheduled for the end of this month
the Telerik team
Check out Telerik Trainer
, the state of the art learning tool for Telerik products.