Based on the information provided, I get the impression that you have hit a known issue in Silverlight that the mouse event is not released. And since RadGridView is based on this platform, it performs the same behavior.
What you can try in order to prevent this, but still keep the whole functionality of multiple selection is to set the CanUserSelect property of the grid to "False", while the window is displayed. The right implementation depends entirely on your particular needs. Could you try this approach and let me know how it goes
the Telerik team
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