As usual, Telerik produced a product with bugs in it.  As you may be aware, when you wish to get the defult style of any of these controls, (lets say you want the RadAlert for instance), you are required to0:
 
1) create a new Silverlight project in Expression Blend
2) Add the Telerik.Windows.Controls.dll and Telerik.Windows.Controls.Navigation.dll(s) to said project
3) Drag and drop a RadAlert (or as other) control to the designer
4) Click "Edit Template -> Edit A Copy" on said control and you have your style.

Unfortunetelly, this process fails at step "3" becuase of a "NullReferenceException" in the OnApplyTemplate method of RadAlert.  Not surprising, this same bug happens for RadConfirm and RadPrompt.

So, instead of waiting 3 months for a solution, I developed a workaround:

Steps 1 & 2 are the same:
3) Open the project using Visual Studio
4) Create a custom RadAlert class (say MyRadAlert), that inherits form RadAlert
5) Override the OnApplyTemplate method and place a try/catch around the base.OnApplyTemplate() call.
6) Save and close Visual Studio
7) Go back to Expression Blend and recompile the project
8) Drag your custom MyRadAlert control to the designer
9) Click "Edit Template -> Edit a Copy" on said control and you have your style.

Hi Rashad Rivera,

We are sorry for your frustration. We managed to reproduce the issue and we will do our best to fix it for SP1. We are glad that you have found a workaround, you can also copy the templates from the Themes solution that is included in our installation. The predefined dialogs templates are in RadWindow.xaml.

Please, excuse us for the inconvenience. We have added points to your account for the report.

Best wishes,
Boyan
the Telerik team

Hi Rashad Rivera,

The issue is fixed and will be included in the next Internal build.

Kind regards,
Boyan
the Telerik team