Ajax enables part of the content to be updated, however the page goes through the same life cycle. This means that Page_Load is executed every time a request is made.
In the provided sample code UserControls are added only on initial page load. When a button is clicked a request is sent to the server, page events are triggered, however IsPostBack is true and the controls are not added to the page. This is expected behavior.
If you would like to load UserControls dynamically and use Ajax you would find this online demo
helpful. It illustrates an approach for adding controls to the page programmatically.
Also when Ajax-enabling RadMultiPage you should follow the guidelines described in this article
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