There are two workarounds:
- set the EnableShadow property in the markup
- OR, for Lightweight RenderMode, add a CSS class:

<telerik:RadWindow ID="RadWindow_MyInfo" runat="server" RenderMode="Lightweight"></telerik:RadWindow>
<asp:Button ID="Button1" Text="show wnd" OnClientClick="test(); return false;" runat="server" />
<script>
	function test() {
		var myinfo = $find('<%=RadWindow_MyInfo.ClientID%>');
		myinfo.setUrl("../Dialogs/MyInfo.aspx");
		myinfo.set_enableShadow(true);
		myinfo.show();
		$telerik.$(myinfo.get_popupElement()).addClass("rwShadow");
	}
</script>