Note that in the described scenario there is no need to add a RadAjaxManagerProxy in the UserControl which is loaded in already ajaxified RadGrid. Actually this is not a supported scenario to have nested ajax setting and this may cause different errors on the page. In this case if you have the luck to build the page without any errors the Ajax request will be handled only by the outer RadAjaxManager and it is expected to have the same response in both cases.
All the best,
the Telerik team
If you want to get updates on new releases, tips and tricks and sneak peeks at our product labs directly from the developers working on the RadControls for ASP.NET AJAX, subscribe to their blog feed