The AjaxControlToolkit assembly changes some of the MS AJAX scripts, which results in some incorrect behavior in other code that relies on these scripts. Our controls, being built on top of the MS AJAX framework heavily use them, so this change affects them. We have done what is possible to alleviate the issue yet this is mostly out of our control.
I also tested the scenario and on my end the event is fired correctly if you remove the DestroyOnClose property of the RadWindowManager/RadWindows, so you can give it a try and see if this helps in your case.
the Telerik team
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