When a RadWnidow is used with its ContentTemplate the controls are on the same page and there isn't any loading done when you show it. User controls do not have a Title property and thus they could not override the title of the RadWindow.
The above leads me to believe that you are actually loading an entire page in the RadWindow (you can see the difference in this demo) and therefore this is the expected behavior - a RadWindow takes the title of the page loaded inside because browser windows have the same behavior. What you can do to override this if you cannot/should not remove the title of the content page - add a handler to its OnClientPageLoad event and set your own title again, for example:
'The desired title'
the Telerik team
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