I opened a support ticket and I finally got a response as follows:
RE: Support ID:537328 -- WebPartManager stops design mode after placed in RadAjaxPanel
From: Telerik Admin
Date: 6/4/2012 5:56:28 AM
Excuse us for the late response on this issue.
We made some research on our end in which our development team was actively involved and unfortunately we came to a conclusion that the presented scenario is not supported with RadAjax. You could see the following help topic where all controls not compatible with ajax are listed:
Accept our apologizes for any incontinence this generic limitation may lead.
All the best,
the Telerik team