When adding a link with a class name, the Unlink command cannot remove the formatting. 

Temporary solution is to clear anchor's classes programmatically via the ApplyClass command:

<telerik:RadEditor runat="server" ID="RadEditor1" OnClientCommandExecuting="OnClientCommandExecuting">
    <Content>
        <a href="http://www.telerik.com" class="my-class">link</a>
    </Content>
</telerik:RadEditor>

<script type="text/javascript">
    function OnClientCommandExecuting(sender, args) {
        var command = args.get_commandName && args.get_commandName();

        if (command === "Unlink") {
            var myArgs = new Telerik.Web.UI.EditorCommandEventArgs("ApplyClass", null, "");
            sender.fire("ApplyClass", myArgs);
        }
    }
</script>