I'm using a RadDateTimePicker nested in a custom user control and I'm having an issue when I click on a date or on a navigation arrow, the calendar closes itself and does not changes its value. I'm using it on an multi-thread application.
Note that all UI controls are not thread safe controls in the whole Windows Forms platform (not just Telerik controls, but all controls out there). Here is an article on MSDN, describing how to make thread-safe Winforms UI application. This means that any control from the Telerik UI for WinForms suite is not thread safe as well and cannot be used outside the main UI thread. You should use an Invoke to update the controls in cross threading scenario.
As to the RadDateTimePicker itself, it is normal that the popup is closed when you select a new date. You can prevent the popup from closing by cancelling the RadDateTimePicker.DateTimePickerElement.Closing event according to your requirement. As to the navigation buttons, they don't close the calendar popup when clicking a navigation button. I have attached a sample project for your reference.
If you are still experiencing any further difficulties it would be greatly appreciated if you specify the exact steps how to reproduce the problem. Thus, we would be able to investigate the precise case and assist you further. Thank you in advance.
I hope this information helps. If you have any additional questions, please let me know.