A RadControl is hosted in a RadXmlHttpPanel, and the RadXmlHttpPanel itself is wrapped by a RadAjaxPanel. Suppose in case of controls like RadGrid, the RadXmlHttpPanel populates the RadGrid by loading on-demand content, while the RadAjaxPanel ensures that all the events of the RadGrid are fired correctly and trigger Ajax partial updates. This way we have optimum performance and take full advantage of what each panel does best. So as far as I know, generally there wont be any issue when we use these controls in a combined manner in a scenario where ViewState is not considered much.
Note: Still RadGrid's Insert/Update/Delete operations are not supported in this scenario (RadXmlHttpPanel in RadAjaxPanel), because they rely heavily on the ViewState. Since the ViewState is not updated on ASP.NET client callbacks, on the next row Insert/Update/Delete the incorrect row will be affected, and this will cause data inconsistency. That's why this setup should be used in simpler scenarios, where the ViewState is not that important.